Structure and asymptotic theory for nonlinear models with GARCH errors
Nonlinear time series models, especially those with regime-switching and/or conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little theo...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2015-01-01
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| Series: | EconomiA |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S151775801500003X |