This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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299
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Type:
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Contributed
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Date/Time:
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Tuesday, August 3, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #307183 |
Title:
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Modeling Threshold Conditional Heteroscedasticity with Regime-Dependent Skewness and Kurtosis
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Author(s):
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Wai Keung Li*+
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Companies:
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The University of Hong Kong
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Address:
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Dept of Statistics & Actuarial Science, Hong Kong, International, 0, China
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Keywords:
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Gram-Charlier density ;
Kurtosis ;
Lagrange-Multiplier test ;
Skewness ;
Threshold model
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Abstract:
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Construction of nonlinear time series models with a flexible probabilistic structure is an important challenge for statisticians. Applications of such a time series model includes ecology, economics and finance. In this paper we consider a threshold model for all the first four conditional moments of a time series. The nonlinear structure in the conditional mean is specified by a threshold autoregression and that of the conditional variance by a threshold generalized autoregressive conditional heteroscedastic (GARCH) model. The Grame-Charlier (GC) density is used as the conditional innovation density and the skewness and kurtosis parameters are also allowed to have a threshold structure. The proposed model allows more flexibility in modelling and provides better insights into the structure of a time series.
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Authors who are presenting talks have a * after their name.
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