A Time-Varying Coefficient Double Threshold GARCH Model with Explanatory Variables
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DOI: 10.3390/axioms12050476
Abstract: In this article, we consider the nonparametric inference for the time-varying coefficient double-threshold generalized autoregressive conditional heteroscedastic models. The quasi-maximum exponential likelihood estimators (QMELEs) of the model’s parameters and the asymptotic properties of the estimators… read more here.
Keywords: time; double threshold; coefficient double; varying coefficient ... See more keywords