مرکز منطقه ای اطلاع رساني علوم و فناوري - On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process

Title of article :

On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process

Author/Authors :

Ji-Chun Liu، نويسنده ,

Issue Information :

فصلنامه با شماره پیاپی سال 2006

Pages :

From page :

1323

To page :

1330

Keywords :

Box-Cox transformation , Threshold GARCH , Heavy-tail distribution , Strict stationarity , Existence of moments

Journal title :

Statistics and Probability Letters

Serial Year :

2006

Journal title :

Statistics and Probability Letters

Record number :

140774

Link To Document :