Chen, Cathy W.S.; Gerlach, Richard H.; Tai, Amanda P.J. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 3, pp. 489-499
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...