Model selection of a switching mechanism for financial time series

DOI10.1002/ASMB.2205zbMath1411.62309OpenAlexW2521359603MaRDI QIDQ4620173

Cathy W. S. Chen, Buu-Chau Truong, Mike K. P. So

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2205

zbMATH Keywords

model selectionMarkov chain Monte Carlothreshold GARCH modeldeviance information criteriaBayesian predictive informationhysteretic autoregressive 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) Economic time series analysis (91B84)

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