Testing for double threshold autoregressive conditional heteroscedastic model

Statistica Sinica

Volumn 10, Issue 1, 2000, Pages 173-189

  Wong, C S ^a   Li, W K ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Conditional heteroscedasticity; Gaussian process; Lagrange multiplier test; Threshold time series model

Indexed keywords

EID: 0348237082     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (24)

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