"Modeling threshold conditional heteroscedasticity with regime-dependent ..."

Xixin Cheng et al. (2011)

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DOI: 10.1016/J.CSDA.2011.03.008

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type: Journal Article

metadata version: 2020-02-18

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Xixin Cheng, Wai Keung Li, Philip L. H. Yu, Xuan Zhou, Chao Wang, P. H. Lo:
Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis. Comput. Stat. Data Anal. 55(9): 2590-2604 (2011)

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