On a threshold double autoregressive model
Dong Li, Shiqing Ling, Rongmao Zhang
| Year of publication: |
January 2016
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|---|---|
| Authors: | Li, Dong ; Ling, Shiqing ; Zhang, Rongmao |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 1, p. 68-80
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| Subject: | Compound Poisson process | Quasi-maximum likelihood estimation | Score test | Threshold ARCH model | Threshold double AR model | Volatility | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Volatilität | Autokorrelation | Autocorrelation | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2014.1001028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691211