Zhang, Ziyi; Li, Wai Keung - In: Economies : open access journal 7 (2019) 2/58, pp. 1-11
This article explores the fitting of Autoregressive (AR) and Threshold AR (TAR) models with a non-Gaussian error structure. This is motivated by the problem of finding a possible probabilistic model for the realized volatility. A Gamma random error is proposed to cater for the non-negativity of...