Chen, Cathy W.S.; Gerlach, Richard H.; Tai, Amanda P.J. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 3, pp. 489-499
the conventional GARCH up to the full double-threshold nonlinear GARCH model with an explosive regime, and is robust to … employing a general double threshold GARCH model that allows for an explosive, non-stationary regime. Posterior credible …