Model selection of a switching mechanism for financial time series

DOI10.1002/ASMB.2205zbMATH Open1411.62309OpenAlexW2521359603MaRDI QIDQ4620173FDOQ4620173

Authors: Buu-Chau Truong, Cathy W. S. Chen, Mike K. P. So 

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2205

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zbMATH Keywords

Markov chain Monte Carlomodel selectionthreshold GARCH modeldeviance information criteriaBayesian predictive informationhysteretic autoregressive model

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)

Cited In (7)

• Comparison of nonnested asymmetric heteroskedastic models
• Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
• On hysteretic vector autoregressive model with applications
• Hysteretic Poisson INGARCH model for integer-valued time series
• Bayesian model selection for heteroskedastic models
• Title not available (Why is that?)
• Title not available (Why is that?)

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