Testing for nonlinearity in mean and volatility for heteroskedastic models
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Cites work
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- An econometric analysis of asymmetric volatility: theory and application to patents
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian model selection for heteroskedastic models
- Comparison of nonnested asymmetric heteroskedastic models
- Equation of state calculations by fast computing machines
- Generalized autoregressive conditional heteroscedasticity
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Monte Carlo sampling methods using Markov chains and their applications
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
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- Bayesian testing for non-linearity in volatility modeling
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