A review of threshold time series models in finance

DOI10.4310/SII.2011.v4.n2.a12zbMath1229.91354MaRDI QIDQ647177

Feng-Chi Liu, Mike K. P. So, Cathy W. S. Chen

Publication date: 1 December 2011

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2011.v4.n2.a12

zbMATH Keywords

asymmetry; nonlinearity; Markov switching; MCMC; heteroskedasticity; volatility model; smooth transition

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G70: Statistical methods; risk measures

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