A Bayesian threshold nonlinearity test for financial time series

Journal of Forecasting

Volumn 24, Issue 1, 2005, Pages 61-75

  So, Mike K P ^a   Chen, Cathy W S ^b   Chen, Ming Tien ^b  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b FENG CHIA UNIVERSITY   (Taiwan)

Author keywords

Asymmetric volatility; Bayesian; GARCH models; Markov chain Monte Carlo; Reversible jump; Stock markets

Indexed keywords

COMPUTER SIMULATION; ECONOMICS; ERROR ANALYSIS; MARKOV PROCESSES; MATHEMATICAL MODELS; MONTE CARLO METHODS; PROBABILITY; SENSITIVITY ANALYSIS; STATISTICAL TESTS; TIME SERIES ANALYSIS;

ASYMMETRIC VOLATILITY; BAYESIAN INFERENCE; GARCH MODELS; MARKOV CHAIN MONTE CARLO (MCMC) METHOD; REVERSIBLE JUMP; STOCK MARKETS;

FINANCIAL DATA PROCESSING;

EID: 13244287897     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/for.939     Document Type: Article

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