Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters

Generalized autoregressive conditional heteroscedastic (GARCH) models have been widely used for analyzing financial time series with time-varying volatilities. To overcome the defect of the Gaussian quasi-maximum likelihood estimator (QMLE) when the innovations follow either heavy-tailed or skewed d...

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Veröffentlicht in:	Scandinavian journal of statistics 2012-09, Vol.39 (3), p.568-589
Hauptverfasser:	LEE, SANGYEOL, LEE, TAEWOOK
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods asymptotic normality consistency Consistent estimators Economic models estimated likelihood estimator Estimation methods Estimators Inference Integers Maximum likelihood estimation nuisance parameter Parametric models quasi-maximum likelihood estimator Regression analysis Sample size Statistical theories Stochastic models Studies threshold GARCH model
Online-Zugang:	Volltext
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