Chan, Felix; Theoharakis, Billy - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1385-1396
It is well known in the literature that obtaining the parameter estimates for the Smooth Transition Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (STAR-GARCH) can be problematic due to computational difficulties. Conventional optimization algorithms do not seem to...
