Testing for nonlinearity in mean and volatility for heteroskedastic models
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Publication:960346
DOI10.1016/j.matcom.2008.01.044zbMath1151.91699MaRDI QIDQ960346
Amanda P. J. Tai, Richard H. Gerlach, Cathy W. S. Chen
Publication date: 17 December 2008
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.044
Markov chain Monte Carlo method; Bayesian; asymmetric volatility model; double threshold GARCH models
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