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Contemporaneous-threshold smooth transition GARCH models
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Contemporaneous-threshold smooth transition GARCH models
Dueker, Michael J. et al · De Gruyter · 2011 · ISSN 1081-1826
This paper proposes a contemporaneous-threshold smooth transition GARCH (or C-STGARCH) model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization to second conditional moments of the contem...
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