Estimation and tests for power-transformed and threshold GARCH models

Pan, Jiazhu, Wang, Hui, Tong, Howell . Journal of Econometrics 2008. 142 (1) :352-378

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Bibtex

@article{CIS-248900,
  Author = {Pan, Jiazhu and Wang, Hui and Tong, Howell},
  Title = {Estimation and tests for power-transformed and threshold GARCH models},
  Journal = {Journal of Econometrics},
  Volume = {142},
  Number = {1},
  Year = {2008},
  Pages = {352--378},
  Keywords = {Asymptotic normality, Power transformation, Wald test, Order selection, QUASI-MAXIMUM LIKELIHOOD ESTIMATOR, least absolute deviations estimation, PTTGARCH structure}
}

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