IDEAS home Printed from https://ideas.repec.org/a/bla/scjsta/v39y2012i3p568-589.html
   My bibliography  Save this article

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

Author

Listed:
  • SANGYEOL LEE
  • TAEWOOK LEE

Abstract

No abstract is available for this item.

Suggested Citation

  • Sangyeol Lee & Taewook Lee, 2012. "Inference for Box–Cox Transformed Threshold GARCH Models with Nuisance Parameters," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 39(3), pages 568-589, September.
    • Handle: RePEc:bla:scjsta:v:39:y:2012:i:3:p:568-589
    DOI: j.1467-9469.2012.00805.x
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1467-9469.2012.00805.x
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/j.1467-9469.2012.00805.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Moosup Kim & Sangyeol Lee, 2016. "On the tail index inference for heavy-tailed GARCH-type innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(2), pages 237-267, April.
    2. Jungsik Noh & Sangyeol Lee, 2016. "Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(3), pages 700-720, September.
    3. Lee, Taewook, 2013. "On Jarque–Bera normality and cusum parameter change tests for BCTT-GARCH models," Economics Letters, Elsevier, vol. 119(1), pages 50-54.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:scjsta:v:39:y:2012:i:3:p:568-589. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.