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Asymptotic Normality for Threshold-Asymmetric GARCH Processes of Non-Stationary Cases
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 Title & Authors
Asymptotic Normality for Threshold-Asymmetric GARCH Processes of Non-Stationary Cases
Park, J.A.; Hwang, S.Y.;
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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.
Quasilikelihood;quasi-maximum likelihood;non-stationary;threshold;
 Cited by
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