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http://dx.doi.org/10.5351/CKSS.2011.18.4.477

Asymptotic Normality for Threshold-Asymmetric GARCH Processes of Non-Stationary Cases  

Park, J.A. (Department of Statistics, Sookmyung Women's University)
Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
Publication Information
Communications for Statistical Applications and Methods / v.18, no.4, 2011 , pp. 477-483 More about this Journal
Abstract
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.
Keywords
Quasilikelihood; quasi-maximum likelihood; non-stationary; threshold;
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