The threshold GARCH model: estimation and density forecasting for financial returns

Authors

Yuzhi Cai, Swansea University
Julian Stander, School of Engineering, Computing and Mathematics

ORCID

• Julian Stander: 0000-0002-1429-9862

DOI

10.1093/jjfinec/nbz014

Publication Date

2019-05-03

Publication Title

Journal of Financial Econometrics

ISSN

1479-8417

Embargo Period

2021-05-02

Recommended Citation

Cai, Y., & Stander, J. (2019) 'The threshold GARCH model: estimation and density forecasting for financial returns', Journal of Financial Econometrics, . Available at: 10.1093/jjfinec/nbz014