Bayesian inference of smooth transition autoregressive (STAR)(k)–GARCH(l, m) models
© 2018, Springer-Verlag GmbH Germany, part of Springer Nature. The smooth transition autoregressive (STAR)(k)–GARCH(l, m) model is a non-linear time series model that is able to account for changes in both regime and volatility respectively. The model can be widely applied to analyse the dynamic beh...
| Main Authors: | , |
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| Format: | Journal Article |
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2018
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| Online Access: | http://hdl.handle.net/20.500.11937/79608 |