Chan, W.S.; Cheung, S.H. - In: Mathematics and Computers in Simulation (MATCOM) 68 (2005) 5, pp. 429-437
In recent years, research in nonlinear time series analysis has grown rapidly. Substantial empirical evidence of nonlinearities in economic time series fluctuations has been reported in the literature. Nonlinear time series models have the advantage of being able to capture asymmetries, jumps,...