Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
<p>We propose an extension of the double autoregressive (DAR) model: the sign-double autoregressive (SDAR) model, in the spirit of the GJR-GARCH model (also named the sign-ARCH model). Our model shares the important property of DAR models where a unit root does not imply non stationarity and i...
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2024
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