A review of threshold time series models in finance (Q647177)

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A review of threshold time series models in finance
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    title
    A review of threshold time series models in finance (English)
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    author
    Cathy W. S. Chen
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    Mike K. P. So
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    Feng-Chi Liu
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    publication date
    1 December 2011
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    zbMATH DE Number
    5983890
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    zbMATH Keywords
    asymmetry
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    heteroskedasticity
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    MCMC
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    Markov switching
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    smooth transition
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    nonlinearity
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    volatility model
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