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Threshold variable selection of asymmetric stochastic volatility models

✍ Scribed by Cathy W. S. Chen, Feng-Chi Liu, Mike K. P. So

Book ID: 120743841
Publisher: Springer
Year: 2013
Tongue: English
Weight: 839 KB
Volume: 28
Category: Article
ISSN: 0943-4062
DOI: 10.1007/s00180-013-0412-y

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## Abstract This article introduces a new model to capture simultaneously the mean and variance asymmetries in time series. Threshold non‐linearity is incorporated into the mean and variance specifications of a stochastic volatility model. Bayesian methods are adopted for parameter estimation. Fore