Guégan, Dominique - School of Economics and Management, University of Aarhus - 2009
-Stationarity - Copula - Long-memory - Switching
- Cumulants - Estimation. theory.
JEL classification: C32, C51, G12
1 Introduction
During … most theoretical results (asymptotic theory), we need the process (Yt)t
strictly stationary which means that it is …, Bilinear, related GARCH, Markov
switching, breaks and jumps models, among others. All the theory which
concerns these models …