A bivariate threshold time series model for analyzing Australian interest rates
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DOI: 10.1016/j.matcom.2005.02.003
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- Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum, 2015. "Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 217-230.
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Keywords
Arranged autoregression; Bivariate time series; Model change; Nonlinearity test;All these keywords.
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