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https://doi.org/10.1016/j.spl.2014.11.011
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Cite Journal: Statistics & Probability Letters |  Publication Date: Nov 24, 2014 |
 Citations: 4 |
We establish consistency and asymptotic normality for a weighted least squares estimate (2SWLSE) of a threshold power ARCH process in both stationary and nonstationary environments. For models with heavy tail innovations, the 2SWLSE is more efficient than the quasi-maximum likelihood estimate.
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