Re-Parameterization of multi-regime STAR-GARCH model

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Re-Parameterization of multi-regime STAR-GARCH model

© MODSIM 2009.All rights reserved. It is well known in the literature that the joint parameter estimation of the Smooth Autoregressive - Generalized Autoregressive Conditional Heteroskedasticity (STAR-GARCH) models poses many numerical challenges with unknown causes. This paper aims to uncover the r...

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Bibliographic Details
Main Authors:	Chan, Felix, Theoharakis, B.
Format:	Conference Paper
Published:	2009
Online Access:	http://hdl.handle.net/20.500.11937/82027

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