Li, Dong; Ling, Shiqing; Zakoian, Jean-Michel - Centre de Recherche en Économie et Statistique … - 2013
This paper investigates a class of multiple-threshold models, called Multiple Threshold Double AR (MTDAR) models. A sufficient condition is obtained for the existence and uniqueness of a strictly stationary and ergodic solution to the first-order MTDAR model. We study the Quasi-Maximum...