On hysteretic vector autoregressive model with applications

DOI10.1080/00949655.2018.1540619OpenAlexW2898737858MaRDI QIDQ5107318

Cathy W. S. Chen, Hong Than-Thi, Mike K. P. So

Publication date: 27 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2018.1540619

zbMATH Keywords

hysteresisMarkov chain Monte Carlo methodscale mixture of normal distributionsnonlinear Granger causalityposterior odds ratiomultivariate Student-\(t\) distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Time series analysis of dynamical systems (37M10)

Related Items (1)

On the asymmetry in the volatility of financial time series: a buffered transition approach

Uses Software

• MVN

Cites Work

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