Comparison of nonnested asymmetric heteroskedastic models
type: Item
instance of: scholarly article
title: Comparison of nonnested asymmetric heteroskedastic models
zbMATH Open document ID: 1157.62519
author: Cathy W. S. Chen
author: Mike K. P. So
author: Richard Gerlach
published in: Computational Statistics and Data Analysis
publication date: 2009-04-06T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5540551
zbMATH Keywords: asymmetric volatility model
zbMATH Keywords: GJR-GARCH model
zbMATH Keywords: double threshold GARCH models
zbMATH Keywords: leverage effect
zbMATH Keywords: Markov chain Monte Carlo method
zbMATH Keywords: reversible jump
describes a project that uses: BayesDA
MaRDI profile type: Publication
full work available at URL: j.csda.2006.07.025
OpenAlex ID: W1973250230
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DOI: 10.1016/J.CSDA.2006.07.025
description: scientific article; zbMATH DE number 5540551