So Mike K.P.

Mike K.P. So

Information about the author Mike K.P. So will soon be added to the site.
Found 3 papers in total
A Bayesian threshold nonlinearity test for financial time series
A Bayesian threshold nonlinearity test for financial time series
2005
We propose in this paper a threshold nonlinearity test for financial time series. Our...
Subset threshold autoregression
Subset threshold autoregression
2003
We develop in this paper an efficient way to select the best subset threshold...
A threshold stochastic volatility model
A threshold stochastic volatility model
2002
This article introduces a new model to capture simultaneously the mean and variance...
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