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Smooth transition models

Teräsvirta, Timo - 1996

Persistent link: https://www.econbiz.de/10000953743

Bartlett corrections in cointegration testing

Jacobson, Tor; Larsson, Rolf - 1996

Persistent link: https://www.econbiz.de/10000953744

Modelling economic relationships with smooth transition regressions

Teräsvirta, Timo - 1996

Persistent link: https://www.econbiz.de/10000955669

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

Persistent link: https://www.econbiz.de/10000958083

Nonlinearities and regime shifts in financial time series

Åsbrink, Stefan E. - 1997

Persistent link: https://www.econbiz.de/10000958387

A new non-linear GARCH model

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000958392

A smooth transition ARCH model for asset returns

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000959364

Specification tests for asymmetric GARCH

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000959369

Modeling Nordic stock returns with asymmetric GARCH models

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000959372

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit (contributor); … - 2005 - [Elektronische Ressource], Rev. February 11, 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10002535492