Bayesian unit root test in double threshold heteroskedastic models
Year of publication: |
2013
|
---|---|
Authors: | Chen, Cathy W. S. ; Chen, Shu-yu ; Lee, Sangyeol |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 42.2013, 4, p. 471-490
|
Subject: | Bayesian hypothesis testing | SETAR | GARCH | Unit-root test | Markov chain Monte Carlo method | Posterior odds ratio | Theorie | Theory | Einheitswurzeltest | Unit root test | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätzung | Estimation | Statistische Methodenlehre | Statistical theory |
-
An improved Bayesian unit root test in stochastic volatility models
Li, Yong, (2019)
-
Priors and Bayesian parameter estimation of affine term structure models
Sögner, Leopold, (2014)
-
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong, (2023)
- More ...
-
Bayesian Unit Root Test in Double Threshold Heteroskedastic Models
Chen, Cathy, (2013)
-
Structural breaks of CAPM-type market model with heteroskedasticity and quantile regression
Chen, Cathy W. S., (2017)
-
Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S., (2017)
- More ...