ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS
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Publication:5438584
DOI10.1111/j.1467-842X.2005.00410.xzbMath1127.62076MaRDI QIDQ5438584
Cathy W. S. Chen, Mike K. P. So, Richard H. Gerlach
Publication date: 24 January 2008
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-842x.2005.00410.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
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