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
Information theoretic test for nonlinearity in time series
✍ Scribed by Milan Paluš; Vladimír Albrecht; Ivan Dvořák
- Publisher
- Elsevier Science
- Year
- 1993
- Tongue
- English
- Weight
- 638 KB
- Volume
- 175
- Category
- Article
- ISSN
- 0375-9601
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