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Journal of Statistical Computation and Simulation Volume 89, 2019 - Issue 2
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On hysteretic vector autoregressive model with applications

Cathy W. S. ChenDepartment of Statistics, Feng Chia University, Taichung, TaiwanCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0001-8727-8168View further author information
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Hong Than-ThiDepartment of Statistics, Feng Chia University, Taichung, TaiwanView further author information
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Mike K. P. SoDepartment of Information Systems, Business Statistics and Operations Management, Hong Kong University of Science and Technology, Hong Kong, ChinaORCID Iconhttp://orcid.org/0000-0003-0781-8166View further author information
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Pages 191-210 | Received 23 Jan 2018, Accepted 21 Oct 2018, Published online: 30 Oct 2018

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Read on this site (2)

Nadia Boussaha, Fayçal Hamdi & Abderaouf Khalfi. (2023) On the asymmetry in the volatility of financial time series: a buffered transition approach. Journal of Statistical Computation and Simulation 93:14, pages 2471-2493.
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Zheqi Wang & Dehui Wang. (2022) BRC-GARCH-X model: the empirical evidence in stock returns. Communications in Statistics - Simulation and Computation 0:0, pages 1-25.
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Articles from other publishers (3)

Cathy W. S. Chen, Edward M. H. Lin & Tara F. J. Huang. (2022) Bayesian quantile forecasting via the realized hysteretic GARCH model. Journal of Forecasting 41:7, pages 1317-1337.
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Cathy W. S. Chen, Hong Than-Thi & Manabu Asai. (2020) On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations. Computational Economics 58:2, pages 413-433.
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Cathy W.S. Chen, Hong Than‐Thi, Mike K.P. So & Songsak Sriboonchitta. (2019) Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations. Applied Stochastic Models in Business and Industry 35:6, pages 1301-1321.
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