In this paper, we propose a new class of regime shift models with exible switching mechanism that relies on a nonparametric probability function of the observed thresh- old variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...

In this paper, we propose a new class of regime shift models with flexible switching mechanism that relies on a nonparametric probability function of the observed threshold variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...

The Financial Risk Meter (FRM) is an established mechanism that, based on conditional Value at Risk (VaR) ideas, yields insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we here extend it by incorporating the idea of...

K-means clustering is one of the most widely-used partitioning algorithm in cluster analysis due to its simplicity and computational efficiency, but it may not provide ideal clustering results when applying to data with non-spherically shaped clusters. By considering the asymmetrically weighted...