Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
Year of publication: |
2003
|
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Authors: | Chan, Felix ; McAleer, Michael |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 13.2003, 8, p. 581-592
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Subject: | ARCH-Modell | ARCH model | Theorie | Theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
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