Assessing and testing for threshold nonlinearity in stock returns

Australian and New Zealand Journal of Statistics

Volumn 47, Issue 4, 2005, Pages 473-488

  Chen, Cathy W S ^a   So, Mike K P ^b   Gerlach, Richard H ^c  

^a FENG CHIA UNIVERSITY   (Taiwan)

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

^c UNIVERSITY OF NEWCASTLE   (Australia)

Author keywords

Asymmetric mean reversion; Asymmetric volatility model; Bayesian; Double threshold GARCH models; Markov chain Monte Carlo method; Reversible jump; Stock markets

Indexed keywords

EID: 21244480964     PISSN: 13691473     EISSN: 1467842X     Source Type: Journal    
DOI: 10.1111/j.1467-842X.2005.00410.x     Document Type: Article

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