Back
Journal article Scopus Source The journal / series is indexed in Scopus (SCImago list). The article itself has not been verified. 3 Citations Quartil Q1 Peer Reviewed

On the Distribution Estimation of Power Threshold Garch Processes

Gonçalves, E. , Leite, J. , Mendes-Lopes, N.
ISLA — Instituto Politécnico de Gestão e Tecnologia
Journal of Time Series Analysis, Volume 37, Issue 5, 17 01 2016, pp. 579–602
DOI: 10.1111/jtsa.12173

Resume

Abstract
The aim of this article is to estimate the probability distribution of power threshold generalized autoregressive conditional heteroskedasticity processes by establishing bounds for their finite dimensional laws. These bounds only depend on the parameters of the model and on the distribution function of its independent generating process. The application of this study to some particular models allows us to conjecture that this procedure is an adequate alternative to the corresponding estimation using the empirical distribution functions, particularly useful in the development of control charts for this kind of models.

Keywords

#generalized autoregressive conditional heteroskedasticity #density estimation #empirical distribution function #control charts #volatility modeling #Mathematics #Autoregressive conditional heteroskedasticity #Autoregressive model #Heteroscedasticity #Applied mathematics #Econometrics #Distribution (mathematics) #SETAR #Conditional probability distribution #Estimation

Bibliographic Details

Publication Type Journal article
Publication Year 2016
Journal / Conference / Work Journal of Time Series Analysis
ISSN 0143-9782
Volume / Issue Vol. 37 (5)
Pagination pp. 579–602
Quartile (SCImago) Q1
Scopus Indexing Indexed source (via SCImago)

ISLA Authors & Affiliations

J
Joana Jorge de Queiroz Leite
jleite@iscac.pt ID: 051E-6AE4-EFE3
Profile