Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis

Keyphrases

• Kurtosis 100%
• Skewness 100%
• Conditional Heteroscedasticity 100%
• Regime Dependent 100%
• Conditional Moments 66%
• Lagrange multiplier Test 66%
• Threshold Structure 66%
• Hong Kong 33%
• Copyright 33%
• Dependent Features 33%
• Classical Test Theory 33%
• Test Statistic 33%
• Hang Seng Index 33%
• Exchange Rate 33%
• Time Series Model 33%
• Conditional Mean 33%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 33%
• Conditional Variance 33%
• Statistician 33%
• Threshold Model 33%
• Nonlinear Time Series Model 33%
• Threshold Autoregression 33%
• Skewed-t 33%
• Dow Jones Industrial Average 33%
• Skew t Distribution 33%
• Skewness Parameter 33%
• Explicit Model 33%
• Probabilistic Structures 33%
• Kurtosis Parameter 33%
• Autoregressive Conditional Heteroscedasticity Model 33%
• Dependent Structure 33%
• Nonlinear Structures 33%

Mathematics

• Conditionals 100%
• Kurtosis 100%
• Heteroscedasticity 100%
• Skewness 100%
• Time Series Model 33%
• Lagrange Multiplier Test 33%
• Test Statistic 16%
• Hang Seng Index 16%
• Conditional Variance 16%
• Autoregression 16%