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Gregor, Kastner ; Martin, Feldkircher ; Gregor, Kastner ; Martin, Feldkircher ; Florian, Huber. (2016) Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model.
In: Department of Economics Working Paper Series. RePEc:wiw:wus005:5178.

Full description at Econpapers

cites:

(2013b): “Dynamic factor volatility modeling: A Bayesian latent threshold approach,” Journal of Financial Econometrics, 11(1), 116–153.

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