On a threshold heteroscedastic model

International Journal of Forecasting - Tập 22 Số 1 - Trang 73-89 - 2006
Cathy W. S. Chen1, Mike K. P. So2
1Graduate Institute of Statistics and Actuarial Science, Feng Chia University, Taiwan
2Department of Information and Systems Management, School of Business and Management, The Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong

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