Estimation and inference for exponential smooth transition nonlinear volatility models

DOI10.1016/j.jspi.2009.09.002zbMath1177.62032OpenAlexW3125320693MaRDI QIDQ1044066

Celine Lin, Richard H. Gerlach, Cathy W. S. Chen, S. T. Boris Choy

Publication date: 10 December 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.09.002

zbMATH Keywords

Bayesian inferenceMarkov chain Monte Carlo (MCMC)asymmetricsmooth transition autoregressionheteroskedasticnormal scale mixtures distribution

Mathematics Subject Classification ID

Related Items (7)

Bayesian model selection for unit root testing with multiple structural breaks ⋮ Nonlinear Poisson autoregression ⋮ A Bayesian conditional autoregressive geometric process model for range data ⋮ Classification in segmented regression problems ⋮ On generalised asymmetric stochastic volatility models ⋮ Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach ⋮ Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations

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