Forecasting time-varying covariance with a robust Bayesian threshold model

DOI10.1002/FOR.1183zbMath1219.91113OpenAlexW2106732397MaRDI QIDQ3088162

Jack C. Lee, Chih-Chiang Wu

Publication date: 19 August 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1183

zbMATH Keywords

Markov chain Monte Carlovalue at riskdynamic conditional correlationgeneralized autoregressive conditional heteroskedasticityhedge performance

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (2)

Bayesian analysis of multivariate threshold autoregressive models with missing data ⋮ Forecasting with Multivariate Threshold Autoregressive Models

Cites Work

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• Sample Splitting and Threshold Estimation
• Threshold Autoregression with a Unit Root
• Testing and Modeling Multivariate Threshold Models
• Testing and Modeling Threshold Autoregressive Processes

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