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On Threshold ARCH Models with Gram-Charlier Density

On Threshold ARCH Models with Gram-Charlier Density. Xuan Zhou and W. K. Li Department of Statistics and Actuarial Science,HKU. Outline. Introduction to Threshold Model Introduction to Gram Charlier Density Threshold Model with Gram Charlier density Estimation method Testing method

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On Threshold ARCH Models with Gram-Charlier Density