Bayesian inference of smooth transition autoregressive (STAR)(k)–GARCH(l, m) models

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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...

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Bibliographic Details
Main Authors:	Livingston, G., Nur, Darfiana
Format:	Journal Article
Published:	2018
Online Access:	http://hdl.handle.net/20.500.11937/79608

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