Model selection of a switching mechanism for financial time series-Reference-Cited by-同舟云学术

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Model selection of a switching mechanism for financial time series

Published:2016-09-21 Issue:6 Volume:32 Page:836-851
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Truong Buu-Chau¹²,Chen Cathy W. S.¹,So Mike K. P.³

Affiliation:

1. Department of Statistics; Feng Chia University; Taiwan

2. Faculty of Mathematics and Statistics; Ton Duc Thang University; Ho Chi Minh City Vietnam

3. Department of Information Systems, Business Statistics and Operations Management; Hong Kong University of Science and Technology; Hong Kong

Funder

Ministry of Science and Technology, Taiwan Mathematics Research Promotion Center, Ministry of Science and Technology, Taiwan

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference33 articles.

1. Autoregressive conditional heterosedasticity with estimates of variance of United Kingdom inflation;Engle;Econometrica,1982

2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Econometrics,1986

3. Forecasting volatility in financial markets: a review;Poon;Journal of Economic Literature,2003

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