We propose in this paper a threshold nonlinearity test for financial time series. Our approach adopts reversible-jump Markov chain Monte Carlo methods to calculate the posterior probabilities of two competitive models, namely GARCH and threshold GARCH models. Posterior evidence favouring the thresho
A Portmanteau Test for Self-Exciting Threshold Autoregressive-Type Nonlinearity in Time Series
β Scribed by Joseph D. Petruccelli and Neville Davies
- Book ID
- 124289605
- Publisher
- Oxford University Press
- Year
- 1986
- Tongue
- English
- Weight
- 910 KB
- Volume
- 73
- Category
- Article
- ISSN
- 0006-3444
- DOI
- 10.2307/2336533
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