Testing for nonlinearity in mean and volatility for heteroskedastic models

Cites Work

Generalized autoregressive conditional heteroscedasticity
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
On a Mixture Autoregressive Conditional Heteroscedastic Model
Monte Carlo sampling methods using Markov chains and their applications
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
Equation of State Calculations by Fast Computing Machines
Bayesian model selection for heteroskedastic models
Testing linearity against smooth transition autoregressive models
An econometric analysis of asymmetric volatility: theory and application to patents
On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
Testing and Modeling Threshold Autoregressive Processes
Testing for threshold autoregression with conditional heteroscedasticity
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Testing for threshold autoregression
On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
Optimal dynamic hedging via copula-threshold-GARCH models
Comparison of nonnested asymmetric heteroskedastic models
A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS

Cited In (7)

Testing for hysteresis against nonlinear alternatives
On Tests for Self-Exciting Threshold Autoregressive-Type Non-Linearity in Partially Observed Time Series
Robustifying multivariate trend tests to nonstationary volatility
Title not available (Why is that?)
On hysteretic vector autoregressive model with applications
Further properties of random orthogonal matrix simulation
Testing for non-correlation between price and volatility jumps

   Recommendations

ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS 👍 👎
Title not available (Why is that?) 👍 👎
A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models 👍 👎
Checking nonlinear heteroscedastic time series models 👍 👎
Title not available (Why is that?) 👍 👎

This page was built for publication: Testing for nonlinearity in mean and volatility for heteroskedastic models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q960346)