论文标题
使用焦油模型的研究对财务系列的杠杆作用的研究：贝叶斯方法
A study on the leverage effect on financial series using a TAR model: a Bayesian approach
论文作者
论文摘要
这项研究表明，在某些数学条件下，阈值自回归模型（TAR）可以根据其条件差异函数代表杠杆作用。此外，当焦油模型的第三和第四刻的分析表达式在弱静止时获得。
This research shows that under certain mathematical conditions, a threshold autoregressive model (TAR) can represent the leverage effect based on its conditional variance function. Furthermore, the analytical expressions for the third and fourth moment of the TAR model are obtained when it is weakly stationary.
