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Smooth-Transition GARCH Models
González-Rivera, Gloria - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2
intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …
Persistent link: https://www.econbiz.de/10014620812
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Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
McAleer, Michael; Chan, Chan, F.; Medeiros, Medeiros, M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2011
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10010837896
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Smooth-Transition GARCH Models
Gloria González-Rivera - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2, pp. 61-78
intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …
Persistent link: https://www.econbiz.de/10005046473
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Smooth-Transition GARCH Models
González-Rivera, Gloria - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 2, pp. 61-78
intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …
Persistent link: https://www.econbiz.de/10004966180