A Bayesian threshold nonlinearity test for financial time series-Reference-Cited by-同舟云学术

A Bayesian threshold nonlinearity test for financial time series

Published:2005-01 Issue:1 Volume:24 Page:61-75
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

So Mike K. P.,Chen Cathy W. S.,Chen Ming-Tien

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Reference21 articles.

1. 1976. Studies of stock price volatility changes. Proceedings of the 1976 Meetings of the Business and Economics Statistic Section, American Statistical Association; 177-181.

2. ARCH modeling in finance

3. A Double-threshold GARCH Model for the French Franc/Deutschmark exchange rate

4. No news is good news

5. BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS

Cited by 34 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Bayesian inference for order determination of double threshold variables autoregressive models;Studies in Nonlinear Dynamics & Econometrics;2022-11-02

2. Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach;The North American Journal of Economics and Finance;2021-01

3. Bayesian estimation for threshold autoregressive model with multiple structural breaks;METRON;2020-10-23

4. Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects;KOREAN ECON REV;2020

5. AT-LSTM: An Attention-based LSTM Model for Financial Time Series Prediction;IOP Conference Series: Materials Science and Engineering;2019-07-01