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Article: On a threshold autoregression with conditional heteroscedastic variances

TitleOn a threshold autoregression with conditional heteroscedastic variances
Authors
Liu, JLi, WKLi, CW
KeywordsARCH models
Double-threshold autoregression
Geometric ergodicity
Issue Date1997
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jspi
Citation
Journal Of Statistical Planning And Inference, 1997, v. 62 n. 2, p. 279-300 How to Cite?
DOI: http://dx.doi.org/10.1016/S0378-3758(96)00196-6
AbstractThis paper considers a time series model with a piecewise linear conditional mean and a piecewise linear conditional variance which is a natural extension of Tong's threshold autoregressive model. The model has potential applications in modelling asymmetric behaviour in volatility in the financial market. Conditions for stationarity and ergodicity are derived. Asymptotic properties of the maximum likelihood estimator and two model diagnostic checking statistics are also presented. An illustrative example based on the Hong Kong Hang Seng index is also reported. © 1997 Elsevier Science B.V.
Persistent Identifierhttp://hdl.handle.net/10722/82711
ISSN
0378-3758
2021 Impact Factor: 1.095
2020 SCImago Journal Rankings: 0.622
ISI Accession Number ID
WOS:A1997XR82100010
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLiu, Jen_HK
dc.contributor.authorLi, WKen_HK
dc.contributor.authorLi, CWen_HK
dc.date.accessioned2010-09-06T08:32:31Z-
dc.date.available2010-09-06T08:32:31Z-
dc.date.issued1997en_HK
dc.identifier.citationJournal Of Statistical Planning And Inference, 1997, v. 62 n. 2, p. 279-300en_HK
dc.identifier.issn0378-3758en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82711-
dc.description.abstractThis paper considers a time series model with a piecewise linear conditional mean and a piecewise linear conditional variance which is a natural extension of Tong's threshold autoregressive model. The model has potential applications in modelling asymmetric behaviour in volatility in the financial market. Conditions for stationarity and ergodicity are derived. Asymptotic properties of the maximum likelihood estimator and two model diagnostic checking statistics are also presented. An illustrative example based on the Hong Kong Hang Seng index is also reported. © 1997 Elsevier Science B.V.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jspien_HK
dc.relation.ispartofJournal of Statistical Planning and Inferenceen_HK
dc.rightsJournal of Statistical Planning and Inference. Copyright © Elsevier BV.en_HK
dc.subjectARCH modelsen_HK
dc.subjectDouble-threshold autoregressionen_HK
dc.subjectGeometric ergodicityen_HK
dc.titleOn a threshold autoregression with conditional heteroscedastic variancesen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0378-3758&volume=62&spage=279&epage=300&date=1997&atitle=On+a+threshold+autoregression+with+conditional+heteroscedastic+variancesen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/S0378-3758(96)00196-6-
dc.identifier.scopuseid_2-s2.0-0031571472en_HK
dc.identifier.hkuros28698en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0031571472&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume62en_HK
dc.identifier.issue2en_HK
dc.identifier.spage279en_HK
dc.identifier.epage300en_HK
dc.identifier.isiWOS:A1997XR82100010-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridLiu, J=7410111118en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridLi, CW=37039049300en_HK
dc.identifier.issnl0378-3758-

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