In this paper, we propose a co-integration model with a logistic mixture auto-regressive equilibrium error (co-integrated LMAR), in which the equilibrium relationship among cumulative returns of different financial assets is modelled by a logistic mixture autoregressive time series model. The...

Correlation stress testing refers to the correlation matrix adjustment to evaluate potential impact of the changes in correlations under financial crises. There are two categories, sensitivity tests and scenario tests. For a scenario test, the correlation matrix is adjusted to mimic the...

A test for independence of multivariate time series based on the mutual information measure is proposed. First of all, a test for independence between two variables based on i.i.d. (time-independent) data is constructed and is then extended to incorporate higher dimensions and strictly...

Construction of nonlinear time series models with a flexible probabilistic structure is an important challenge for statisticians. Applications of such a time series model include ecology, economics and finance. In this paper we consider a threshold model for all the first four conditional...

Generalized Threshold Model (GTM) is a non-linear time series model which generalizes the Threshold Autoregressive Model (TAR) to implement the idea of the Generalized Linear Model under the threshold time series framework. However, the dispersion parameter is usually assumed as constant in the...

A process system is designed for material transformations that produce certain functional chemicals while usually consuming large amounts of energy. Materials in process systems have long been the major focus of investigation to achieve better economic performance. Rising energy prices and...