A review of threshold time series models in finance
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Publication:647177
DOI10.4310/SII.2011.v4.n2.a12zbMath1229.91354MaRDI QIDQ647177
Cathy W. S. Chen, Mike K. P. So, Feng-Chi Liu
Publication date: 1 December 2011
Published in: Statistics and Its Interface (Search for Journal in Brave)
asymmetry; nonlinearity; Markov switching; MCMC; heteroskedasticity; volatility model; smooth transition
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G70: Statistical methods; risk measures
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