Comparison of nonnested asymmetric heteroskedastic models

DOI10.1016/j.csda.2006.07.025zbMath1157.62519OpenAlexW1973250230MaRDI QIDQ1010561

Mike K. P. So, Cathy W. S. Chen, Richard H. Gerlach

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.07.025

zbMATH Keywords

Markov chain Monte Carlo methodleverage effectreversible jumpasymmetric volatility modeldouble threshold GARCH modelsGJR-GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• BayesDA

Cites Work

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