Estimation and tests for power-transformed and threshold GARCH models
Tong, Howell; Pan, Jiazhu; and Wang, Hui
(2008)
Estimation and tests for power-transformed and threshold GARCH models.
Journal of Econometrics, 142 (1).
pp. 352-378.
ISSN 0304-4076
| Item Type | Article |
|---|---|
| Departments | Statistics |
| DOI | 10.1016/j.jeconom.2007.06.004 |
| Date Deposited | 03 Apr 2008 13:23 |
| URI | https://researchonline.lse.ac.uk/id/eprint/3776 |