A note on the LSE of three-regime TAR model with an infinite variance
Year of publication: |
June 2018
|
---|---|
Authors: | Yang, Yaxing ; Ling, Shiqing |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 13.2018, 2, p. 1-13
|
Subject: | Least square estimation | infinite variance | threshold models | simulation | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation | Simulation | Regressionsanalyse | Regression analysis |
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