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

zbMATH Open1289.62129MaRDI QIDQ2858360FDOQ2858360

Authors: Jiajie Xu, Jianhong Wu 

Publication date: 19 November 2013

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

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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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