Model selection of a switching mechanism for financial time series

DOI10.1002/ASMB.2205MaRDI QIDQ4620173zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• On double hysteretic heteroskedastic model
• Bayesian model selection for heteroskedastic models
• Comparison of nonnested asymmetric heteroskedastic models
• Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
• Bayesian estimation of generalized hyperbolic skewed student GARCH models

Cited in

(9)

• 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
• On double hysteretic heteroskedastic model
• Bayesian model selection for heteroskedastic models
• scientific article; zbMATH DE number 1046833 (Why is no real title available?)
• scientific article; zbMATH DE number 3885186 (Why is no real title available?)
• Model selection for stock prices data

This page was built for publication: Model selection of a switching mechanism for financial time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4620173)