A Bayesian threshold nonlinearity test for financial time series
Year of publication: |
2004
|
---|---|
Authors: | So, Mike Ka-pui ; Chen, Cathy W. S. ; Chen, Ming-tien |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 24.2005, 1, p. 61-75
|
Subject: | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
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