On double hysteretic heteroskedastic model

DOI10.1080/00949655.2015.1123262OpenAlexW2295404335MaRDI QIDQ5222509

Cathy W. S. Chen, Buu-Chau Truong

Publication date: 1 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2015.1123262

zbMATH Keywords

asymmetryhysteresismodel selectionMarkov chain Monte Carlovalue-at-riskBayesian methodsthreshold autoregressive modelposterior odds ratioskew Student's \(t\)-distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10)

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Uses Software

• BayesDA

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