Title of article :
Comparison of nonnested asymmetric heteroskedastic models
Author/Authors :
Cathy W.S. Chen، نويسنده , , Richard Gerlach، نويسنده , , Mike K.P. So، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Keywords :
Double threshold GARCH models , Markov chain Monte Carlomethod , Leverage effect , Reversible jump , Asymmetric volatility model , GJR-GARCH model
Journal title :
Computational Statistics and Data Analysis
Journal title :
Computational Statistics and Data Analysis
