Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility
In an endeavor to encapsulate the dual aspects of volatility progression and periodicity inherent in autocorrelation frameworks demonstrated by various nonlinear time series, a novel conceptualization emerges—the periodic threshold autoregressive stochastic volatility (PTAR-SV) model. This model ser...
| Main Authors: | , |
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| Format: | Article |
| Jezik: | English |
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AIMS Press
2024-03-01
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| Serija: | AIMS Mathematics |
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| Online dostop: | https://www.aimspress.com/article/doi/10.3934/math.2024578?viewType=HTML |