Testing for sign and amplitude asymmetries using threshold autoregressions

DOI10.1016/j.jedc.2005.03.007zbMath1200.62103OpenAlexW1996150522MaRDI QIDQ956521

Ana-María Fuertes, Jerry Coakley

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.03.007

zbMATH Keywords

bootstrapMonte Carlosubsamplingregime-switchingLR test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

Related Items (2)

An elementary approach to dynamics and bifurcations of skew tent maps ⋮ Threshold quantile autoregressive models

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