This paper considers a time series model with a piecewise linear conditional mean and a piece-wise linear conditional variance which is a natural extension of Tong's threshold autoregressiw~ model. The model has potential applications in modelling asymmetric behaviour in volatility ia the financial
โฆ LIBER โฆ
A Nonparametric Test of Conditional Autoregressive Heteroscedasticity for Threshold Autoregressive Models
โ Scribed by Min Chen and Gemai Chen
- Book ID
- 111851008
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- French
- Weight
- 806 KB
- Volume
- 29
- Category
- Article
- ISSN
- 0319-5724
- DOI
- 10.2307/3316013
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