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On the tail behaviors of a family of GARCH processes
Liu, Ji-chun - In: Econometric theory 22 (2006) 5, pp. 852-862
Persistent link: https://www.econbiz.de/10003379105
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Integrated Markov-switching GARCH process
Liu, Ji-Chun - In: Econometric theory 25 (2009) 5, pp. 1277-1288
Persistent link: https://www.econbiz.de/10003885752
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ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
Liu, Ji-Chun - In: Econometric theory 22 (2006) 5, pp. 852-862
Persistent link: https://www.econbiz.de/10007292701
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INTEGRATED MARKOV-SWITCHING GARCH PROCESS
Liu, Ji-Chun - In: Econometric theory 25 (2009) 5, pp. 1277-1288
Persistent link: https://www.econbiz.de/10008306946