The threshold approach in volatility modelling

Research output: Chapter in Book/Report/Conference proceedingChapter

3 Citations (Scopus)

Abstract

Extensions of Tong's threshold approach to other fields of statistics abound. Among these, the application of the threshold approach to model volatility changes in financial time series has been particularly noteworthy. This paper aims to give a brief survey on this vast and important development since the birth of the threshold autoregression models. Copyright © 2009 by World Scientific Publishing Co. Pte. Ltd. All rights reserved.
Original languageEnglish
Title of host publicationExploration of a nonlinear world: An appreciation of Howell Tong's contributions to statistics
EditorsKung-Sik CHAN
Place of PublicationSingapore
PublisherWorld Scientific
Pages95-100
ISBN (Electronic)9789812836281
ISBN (Print)9789812836274
DOIs
Publication statusPublished - 2009

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Volatility
Modeling
Autoregression
Financial Time Series
Statistics
Model

Citation

Li, W. K. (2009). The threshold approach in volatility modelling. In K.-S. Chan (Ed.), Exploration of a nonlinear world: An appreciation of Howell Tong's contributions to statistics (pp. 95-100). Singapore: World Scientific.