Threshold models for trended time series
β Scribed by George Kapetanios
- Publisher
- Springer-Verlag
- Year
- 2003
- Tongue
- English
- Weight
- 347 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0377-7332
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Beach pollution was assessed visually by beach inspectors on a live-point ratings scale as 0, 1, 2, 3 or 4 corresponding to pollution levels of None, Low, Trace, Medium or High, respectively. The data consisted of 640 days of pollution ratings at 34 beaches in Sydney, Australia, together with concom
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