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Threshold heteroskedastic models

19942,278 citationsJournal Article

Authors

Jean‐Michel Zakoïan · Centre de Recherche en Économie et Statistique

Topics & Keywords

Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Stochastic processes and financial applications

Publication Details

Published in: Journal of Economic Dynamics and Control

Volume 18, Issue 5, pp. 931-955

DOI: 10.1016/0165-1889(94)90039-6

Field-Weighted Citation Impact: 15.82

Threshold heteroskedastic models | Researchclopedia