On Asymmetric Smoothing Transition Heteroscedastic Models
碩士 === 逢甲大學 === 統計與精算所 === 93 === In this paper, we investigate the asymmetric nonlinear double smooth tran- sition ARX GARCH model. We focus on parameter estimation and model selection using a Bayesian framework. We adopt the posterior odds ratio to compare the double smooth transition ARX GARCH mo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/44679936760497861495 |