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Estimating the marginal law of a time series with applications to heavy-tailed distributions
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 412-425
Persistent link: https://www.econbiz.de/10010337860
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Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el; Zakoïan, Jean-Michel - 1997
Persistent link: https://www.econbiz.de/10000956285
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Contemporaneous asymetry in weak garch processes
Babsiri, Mohamed el - 1996
Persistent link: https://www.econbiz.de/10000936580
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Threshold arch models and asymmetries in volatility
Rabemananjara, R. - In: Journal of applied econometrics 8 (1993) 1, pp. 31-49
Persistent link: https://www.econbiz.de/10001139585
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Threshold heteroskedastic models
Zakoïan, Jean-Michel - In: Journal of economic dynamics & control 18 (1994) 5, pp. 931-955
Persistent link: https://www.econbiz.de/10001168038
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Volatility estimation when the zero-process is nonstationary
Francq, Christian; Sucarrat, Genaro - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10013540630