Theory study and empirical analysis on nonlinearity tests for an LSTAR model with two thresholds

MaRDI QIDQ2858360zbMATH OpenFDO

Authors Jiajie Xu, Jianhong Wu

Publication date 19 November 2013

Published in Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

zbMATH Keywords

nonlinearity testLSTAR model with two thresholdsmean reversion of exchange rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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