A bivariate generalized autoregressive conditional heteroskedastic model with dynamic conditional correlation and leverage effect (DCC-GJR-GARCH) for modelling financial time series data is considered. For robustness it is helpful to assume a multivariate Student-<italic>t</italic> distribution for the...

A simple test for threshold nonlinearity in either the mean or volatility equation, or both, of a heteroskedastic time series model is proposed. The procedure extends current Bayesian Markov chain Monte Carlo methods and threshold modelling by employing a general double threshold GARCH model...

This paper examines the ASEAN-5 countries and explores the impact of structural breaks on the level of financial integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and compared with the standard Johansen procedure, for daily...

The contribution of this paper is twofold. First, we exploit copula methodology, with two threshold GARCH models as marginals, to construct a bivariate copula-threshold-GARCH model, simultaneously capturing asymmetric nonlinear behaviour in univariate stock returns of spot and futures markets...

An effective approach for forecasting return volatility via threshold nonlinear heteroskedastic models of the daily asset price range is provided. The range is defined as the difference between the highest and lowest log intra-day asset price. A general model specification is proposed, allowing...

There is substantial evidence that many financial time series exhibit leptokurtosis and volatility clustering. We compare the two most commonly used statistical distributions in empirical analysis to capture these features: the t distribution and the generalized error distribution (GED). A...

The major goal of this paper is to examine the hypothesis that stock returns and return volatility are asymmetric, threshold nonlinear, functions of change in trading volume. A minor goal is to examine whether return spillover effects also display such asymmetry. Employing a double-threshold...

In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both...