Testing for nonlinearity in mean and volatility for heteroskedastic models
type: Item
instance of: scholarly article
title: Testing for nonlinearity in mean and volatility for heteroskedastic models
zbMATH Open document ID: 1151.91699
author: Cathy W. S. Chen
author: Richard Gerlach
author: Amanda P. J. Tai
published in: Mathematics and Computers in Simulation
publication date: 2008-12-17T00:00:00Z
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 5383104
zbMATH Keywords: asymmetric volatility model
zbMATH Keywords: Bayesian
zbMATH Keywords: double threshold GARCH models
zbMATH Keywords: Markov chain Monte Carlo method
MaRDI profile type: Publication
full work available at URL: j.matcom.2008.01.044
OpenAlex ID: W2049859185
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DOI: 10.1016/J.MATCOM.2008.01.044
description: scientific article; zbMATH DE number 5383104