A threshold stochastic volatility model with explanatory variables
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Cites work
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Cited in
(17)- Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
- Bayesian empirical likelihood inference for the generalized binomial AR(1) model
- A new bivariate autoregressive model driven by logistic regression
- A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models
- Statistical inference for self-exciting threshold INAR processes with missing values
- Bayesian inference for quantile autoregressive model with explanatory variables
- A study for the NMBAR(1) processes
- Variable selection for quantile autoregressive model: Bayesian methods versus classical methods
- Testing data cloning as the basis of an estimator for the stochastic volatility in mean model
- Observation-driven random coefficient threshold INAR models for count time series
- Self-excited threshold Poisson autoregressive model with covariables
- Bayesian analysis for a threshold double autoregressive model with explanatory variables
- Bayesian quantile inference and order shrinkage for hysteretic quantile autoregressive models
- Quantile regression estimation for self-exciting threshold integer-valued autoregressive process
- An extension of ℤ-valued time series with Poisson difference innovation via logistic regression
- Hierarchical modeling of multiple synchronized irregularly spaced financial returns
- On Smooth Transition Interval Autoregressive Models
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