On a threshold heteroscedastic model

International Journal of Forecasting

Volumn 22, Issue 1, 2006, Pages 73-89

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

^a FENG CHIA UNIVERSITY   (Taiwan)

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

Author keywords

Asymmetry; Auxiliary variables; GARCH model; Markov chain Monte Carlo; Model diagnostics; Stock returns

Indexed keywords

EID: 30344463390     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2005.08.001     Document Type: Article

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