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Testing for threshold autoregression with conditional heteroscedasticity
C. S. WONG,
Wai Keung LI
Department of Mathematics and Information Technology (MIT)
Research output
:
Contribution to journal
›
Articles
›
peer-review
38
Citations (Scopus)
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Dive into the research topics of 'Testing for threshold autoregression with conditional heteroscedasticity'. Together they form a unique fingerprint.
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Mathematics
Conditional Heteroscedasticity
89%
Autoregression
74%
Null Distribution
65%
Lagrange multipliers
62%
Statistic
52%
Asymptotic distribution
52%
Testing
42%
Conditional Variance
39%
Percentage Points
39%
Threshold Parameter
38%
Brownian Bridge
38%
Monte Carlo Experiment
35%
Nuisance Parameter
33%
Gaussian Process
29%
Null hypothesis
28%
Demonstrate
18%
Generalise
16%
Zero
15%
Approximation
15%
Generalization
15%
Model
9%
Business & Economics
Threshold Autoregression
96%
Conditional Heteroscedasticity
84%
Lagrange multipliers
76%
Testing
50%
Brownian Bridge
48%
Statistics
44%
Gaussian Process
42%
Nuisance Parameter
41%
Process Variables
39%
Conditional Variance
34%
Monte Carlo Experiment
34%
Approximation
24%
Agriculture & Biology
heteroskedasticity
100%
multipliers
85%
statistics
55%
testing
23%
Engineering & Materials Science
Lagrange multipliers
71%
Statistics
45%
Testing
30%
Experiments
10%
Medicine & Life Sciences
Statistics
46%