THEORY AND APPLICATIONS OF TAR MODEL WITH TWO THRESHOLD VARIABLES

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	THEORY AND APPLICATIONS OF TAR MODEL WITH TWO THRESHOLD VARIABLES
	Chen, Haiqiang ; Chong, Terence Tai-Leung ; Bai, Jushan ; Chen HQ(陈海强)
刊名	http://dx.doi.org/10.1080/07474938.2011.607100
	2012
关键词	LEAST-SQUARES ESTIMATOR EXPECTED STOCK RETURNS CROSS-SECTION TIME-SERIES AUTOREGRESSIVE MODELS TRADING VOLUME INFERENCE CONSISTENCY POINT
英文摘要	A growing body of threshold models has been developed over the past two decades to capture the nonlinear movement of financial time series. Most of these models, however, contain a single threshold variable only. In many empirical applications, models with two or more threshold variables are needed. This article develops a new threshold autoregressive model which contains two threshold variables. A likelihood ratio test is proposed to determine the number of regimes in the model. The finite-sample performance of the estimators is evaluated and an empirical application is provided.
语种	英语
出版者	ECONOMET REV
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/91503]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Chen, Haiqiang,Chong, Terence Tai-Leung,Bai, Jushan,et al. THEORY AND APPLICATIONS OF TAR MODEL WITH TWO THRESHOLD VARIABLES[J]. http://dx.doi.org/10.1080/07474938.2011.607100,2012.
APA	Chen, Haiqiang,Chong, Terence Tai-Leung,Bai, Jushan,&陈海强.(2012).THEORY AND APPLICATIONS OF TAR MODEL WITH TWO THRESHOLD VARIABLES.http://dx.doi.org/10.1080/07474938.2011.607100.
MLA	Chen, Haiqiang,et al."THEORY AND APPLICATIONS OF TAR MODEL WITH TWO THRESHOLD VARIABLES".http://dx.doi.org/10.1080/07474938.2011.607100 (2012).