Comparison of nonnested asymmetric heteroskedastic models

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2164-2178

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

^a FENG CHIA UNIVERSITY   (Taiwan)

^b UNIVERSITY OF SYDNEY   (Australia)

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

Author keywords

Asymmetric volatility model; Double threshold GARCH models; GJR GARCH model; Leverage effect; Markov chain Monte Carlo method; Reversible jump

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; MARKOV PROCESSES; MATHEMATICAL MODELS; MONTE CARLO METHODS; THRESHOLD ELEMENTS;

ASYMMETRIC VOLATILITY MODELS; DOUBLE THRESHOLD GARCH MODELS; GJR-GARCH MODELS; LEVERAGE EFFECTS; MARKOV CHAIN MONTE CARLO METHOD; REVERSIBLE JUMPS;

NONLINEAR SYSTEMS;

EID: 33750990462     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.07.025     Document Type: Article

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