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Testing for nonlinearity in mean and volatility for heteroskedastic models

Chen, Cathy W.S.; Gerlach, Richard H.; Tai, Amanda P.J. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 3, pp. 489-499

A simple test for threshold nonlinearity in either the mean or volatility equation, or both, of a heteroskedastic time series model is proposed. The procedure extends current Bayesian Markov chain Monte Carlo methods and threshold modelling by employing a general double threshold GARCH model...

Persistent link: https://www.econbiz.de/10010749948

Bayesian quantile forecasting via the realized hysteretic GARCH model

Chen, Cathy W. S.; Lin, Edward M. H.; Huang, Tara F. J. - In: Journal of forecasting 41 (2022) 7, pp. 1317-1337

Persistent link: https://www.econbiz.de/10013465697

Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

Persistent link: https://www.econbiz.de/10015144246

Bayesian unit root test in double threshold heteroskedastic models

Chen, Cathy W. S.; Chen, Shu-yu; Lee, Sangyeol - In: Computational economics 42 (2013) 4, pp. 471-490

Persistent link: https://www.econbiz.de/10010249863

Bayesian expected shortfall forecasting incorporating the intraday range

Gerlach, Richard; Chen, Cathy W. S. - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 128-158

Persistent link: https://www.econbiz.de/10011588546

Tail risk forecasting with semiparametric regression models by incorporating overnight information

Chen, Cathy W. S.; Koike, Takaaki; Shau, Wei-Hsuan - In: Journal of forecasting 43 (2024) 5, pp. 1492-1512

Persistent link: https://www.econbiz.de/10015108416