Search Results - subject:"smooth transition autoregression"

Long monthly European temperature series and the North Atlantic Oscillation

He, Changli; Kang, Jian; Silvennoinen, Annastiina; … - 2023

Persistent link: https://www.econbiz.de/10014281994

A comparison of multistep commodity price forecasts using direct and iterated smooth transition autoregressive methods

Ubilava, David - In: Agricultural economics : the journal of the … 53 (2022) 5, pp. 687-701

Persistent link: https://www.econbiz.de/10013464748

Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model

He, Changli; Kang, Jian; Silvennoinen, Annastiina; … - In: Journal of econometrics 239 (2024) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10015073960

Long monthly European temperature series and the North Atlantic Oscillation

He, Changli; Kang, Jian; Silvennoinen, Annastiina; … - In: Energy economics 126 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014481089

Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012821325

Is the assumption of constant factor loadings too strong in practice?

Aslanidis, Nektarios; Hartigan, Luke - In: Economic modelling 98 (2021), pp. 100-108

Persistent link: https://www.econbiz.de/10012793638

The role of El Niño Southern Oscillation in commodity price movement and predictability

Ubilava, David - In: American journal of agricultural economics 100 (2018) 1, pp. 239-263

Persistent link: https://www.econbiz.de/10011959363

El Niño Southern Oscillation and Primary Agricultural Commodity Prices: Causal Inferences from Smooth Transition Models

Ubilava, David - Australian Agricultural and Resource Economics Society … - 2013

Global climate anomalies affect world economies and primary commodity prices. One of the more pronounced climate anomalies is El Niño Southern Oscillation (ENSO). In this study I examine the relationship between ENSO and world commodity prices using monthly time series of the sea-surface...

Persistent link: https://www.econbiz.de/10011070405

Forecasting ENSO with a smooth transition autoregressive model

Ubilava, David; Helmers, C Gustav - Volkswirtschaftliche Fakultät, … - 2012

This study examines the benets of nonlinear time series modelling to improve forecast accuracy of the El Nino Southern Oscillation (ENSO) phenomenon. The paper adopts a smooth transition autoregressive (STAR) modelling framework to assess the potentially regime-dependent dynamics of sea surface...

Persistent link: https://www.econbiz.de/10009650693

Non-linearities in the dynamics of oil prices

Kisswani, Khalid; M.; Nusair, Salah; A. - Volkswirtschaftliche Fakultät, … - 2012

evidence of non-linearity in all the cases. In most cases, we find significant evidence of exponential smooth transition … autoregression (ESTAR) type non-linearity. Notably, the results for Japan suggest logistic (LSTAR) type non-linearity for the four …

Persistent link: https://www.econbiz.de/10009647235