𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A Test for Nonlinearity of Time Series with Infinite Variance

✍ Scribed by Sidney Resnick; Eric Van Den Berg

Book ID
110284765
Publisher
Springer
Year
2000
Tongue
English
Weight
227 KB
Volume
3
Category
Article
ISSN
1386-1999

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

A Bayesian threshold nonlinearity test f
A Bayesian threshold nonlinearity test for financial time series
✍ Mike K. P. So; Cathy W. S. Chen; Ming-Tien Chen πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 136 KB πŸ‘ 1 views

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

Inference for some time series models wi
Inference for some time series models with random coefficients and infinite variance innovations
✍ A. Thavaneswaran; S. Peiris πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 485 KB

infinite variance processes have attracted growing interest in recent years due to its applications in many areas of statistics. For example, ARIMA time series models with infinite variance innovations are widely used in financial modelling. However, little attention has been paid to incorporate inf

A robust Cusum test for SETAR-type nonli
A robust Cusum test for SETAR-type nonlinearity in time series
✍ Joseph D. Petruccelli; Alina Onofrei; Jayson D. Wilbur πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 116 KB

## Abstract As a part of an effective self‐exciting threshold autoregressive (SETAR) modeling methodology, it is important to identify processes exhibiting SETAR‐type nonlinearity. A number of tests of nonlinearity have been developed in the literature. However, it has recently been shown that all