کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1140234 | 956717 | 2008 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing for nonlinearity in mean and volatility for heteroskedastic models
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Testing for nonlinearity in mean and volatility for heteroskedastic models Testing for nonlinearity in mean and volatility for heteroskedastic models](/preview/png/1140234.png)
چکیده انگلیسی
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 that allows for an explosive, non-stationary regime. Posterior credible intervals on model parameters are used to detect and specify threshold nonlinearity in the mean and/or volatility equations. Simulation experiments demonstrate that the method works favorably in identifying model specifications varying in complexity from the conventional GARCH up to the full double-threshold nonlinear GARCH model with an explosive regime, and is robust to over-specification in model orders.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 79, Issue 3, 1 December 2008, Pages 489-499
Journal: Mathematics and Computers in Simulation - Volume 79, Issue 3, 1 December 2008, Pages 489-499
نویسندگان
Cathy W.S. Chen, Richard H. Gerlach, Amanda P.J. Tai,