Testing for nonlinearity in mean and volatility for heteroskedastic models

DOI10.1016/j.matcom.2008.01.044zbMath1151.91699OpenAlexW2049859185MaRDI QIDQ960346

Amanda P. J. Tai, Richard H. Gerlach, Cathy W. S. Chen

Publication date: 17 December 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.044

zbMATH Keywords

Markov chain Monte Carlo methodBayesianasymmetric volatility modeldouble threshold GARCH models

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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On hysteretic vector autoregressive model with applications ⋮ Further properties of random orthogonal matrix simulation

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