Testing Nonlinearity for Double Threshold Autoregressive Conditional Heteroskedastic Models
碩士 === 逢甲大學 === 統計與精算所 === 95 === This paper proposed a simple test of the hypothesis that either the mean or the variance are nonlinear in a heteroskedastic model. We estimated the parameters under Bayesian Markov chain Monte Carlo methods and fit a general double threshold ARX-GARCH model with exo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/65058118530275847397 |