This paper proposes an alternative Threshold-GARCH (TGARCH) option pricing model, which is a modification of the TGARCH model introduced by Härdle and Hafner (2000). Some moment properties of the proposed model are analytically proven. Parameter estimations are analyzed by the Bayesian approach...

This paper investigates Bayesian forecasts for some cointegrated time series data. Suppose data are derived from some cointegrated model, but, an unrestricted vector autoregressive model, without including cointegrated conditions, is fitted; the implication of using an incorrect model will be...