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Numerous empirical studies have shown evidence of nonlinearities in financial time series, which can be of both a deterministic and a stochastic nature. Chaos is an example of the former, and heteroscedasticity in the conditional variance an example of the latter. We apply a test, the BDS test,...
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Monte Carlo simulation to measure the difference between the simulated and the actual power ranking. To test instances when …
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Monte Carlo simulation to measure the difference between the simulated and the actual power ranking. To test instances when …
Persistent link: https://www.econbiz.de/10012125547
We develop Bayesian methods of analysis for a new class of Threshold Autoregressive models: Endogenous Delay Threshold. We apply our methods to the commonly used sunspot data data set and find strong evidence in favor of the EDTAR model over linear and tranditional threshold autoregressions.
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