On a threshold autoregression with condi
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J. Liu; W.K. Li; C.W. Li
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Article
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1997
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Elsevier Science
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English
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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