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.
|Title of host publication||Exploration of a nonlinear world: An appreciation of Howell Tong's contributions to statistics|
|Place of Publication||Singapore|
|Publication status||Published - 2009|
Financial Time Series