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The Markov switching multi-fractal model of asset returns : estimation and forecasting of dynamic volatitility with multinomial specifications
Lee, Hwa Taek, (2007)
Improving quantile forecasts via realized double hysteretic GARCH model in stock markets
Chen, Cathy W. S., (2024)
An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den, (2011)
On stepwise regression and economic forecasting
Teräsvirta, Timo, (1970)
Power properties of linearity tests for time series
Teräsvirta, Timo, (1990)
Superiority comparisons between mixed regression estimators
Teräsvirta, Timo, (1987)