Detecting nonlinearity in time series by model selection criteria

International Journal of Forecasting

Volumn 21, Issue 4, 2005, Pages 731-748

  Peña, Daniel ^a   Rodriguez, Julio ^b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b UNIVERSIDAD POLITÉCNICA DE MADRID   (Spain)

Author keywords

AIC; BIC; Bilinear; GARCH; Portmanteau tests; Threshold autoregressive

Indexed keywords

EID: 20444466883     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2005.04.014     Document Type: Article

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