Persistent-threshold-GARCH processes: Model and application
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Cited by:
- Yuzhi Cai & Julian Stander, 2020.
"The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns,"
Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 395-424.
- Yuzhi Cai & Julian Stander, 2018. "The threshold GARCH model: estimation and density forecasting for financial returns," Working Papers 2018-23, Swansea University, School of Management.
- Hwang, S.Y. & Baek, J.S. & Park, J.A. & Choi, M.S., 2010. "Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations," Statistics & Probability Letters, Elsevier, vol. 80(1), pages 26-33, January.
- Kim, Yujin & Hwang, Eunju, 2018. "A dynamic Markov regime-switching GARCH model and its cumulative impulse response function," Statistics & Probability Letters, Elsevier, vol. 139(C), pages 20-30.
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