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KCI 등재 SCOPUS
Asymptotic Normality for Threshold-Asymmetric GARCH Processes of Non-Stationary Cases
( J. A. Park ) , ( S. Y. Hwang )
UCI I410-ECN-0102-2012-510-002190245
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This article is concerned with a class of threshold-asymmetric GARCH models both for stationary case and for non-stationary case. We investigate large sample properties of estimators from QML(quasi-maximum likelihood) and QL(quasilikelihood) methods. Asymptotic distributions are derived and it is interesting to note for non-stationary case that both QML and QL give asymptotic normal distributions.

[자료제공 : 네이버학술정보]
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