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Introduction: Forecasting returns and risk in financial markets using linear and nonlinear models

Clements, Michael P.; Milas, Costas; Dijk, Dick van - In: International journal of forecasting 25 (2009) 2, pp. 215-217

Persistent link: https://www.econbiz.de/10003870040

On SETAR non-linearity and forecasting

Clements, Michael P.; Franses, Philip Hans; Smith, Jeremy; … - In: Journal of forecasting 22 (2003) 5, pp. 359-375

Persistent link: https://www.econbiz.de/10001781684

On SETAR non-linearity and forecasting

Clements, Michael P.; Franses, Philip Hans; Smith, Jeremy; … - In: Journal of forecasting 22 (2003) 5, pp. 359-376

Persistent link: https://www.econbiz.de/10006887467

Forecasting returns and risk in financial markets using linear and nonlinear models

Clements, Michael P.; Milas, Costas; van Dijk, Dick - In: International journal of forecasting 25 (2009) 2, pp. 215-217

Persistent link: https://www.econbiz.de/10008231953

Forecasting returns and risk in financial markets using linear and nonlinear models

Clements, Michael P.; Milas, Costas; van Dijk, Dick - In: International journal of forecasting 25 (2009) 2, pp. 215-218

Persistent link: https://www.econbiz.de/10008892145

Forecasting returns and risk in financial markets using linear and nonlinear models

Clements, Michael P.; Milas, Costas; van Dijk, Dick - In: International Journal of Forecasting 25 (2009) 2, pp. 215-217

Persistent link: https://www.econbiz.de/10005418218

On SETAR non-linearity and forecasting

Dijk, Dick van; Franses, Philip Hans; Clements, Michael P. - In: Journal of Forecasting 22 (2003) 5, pp. 359-375

We compare linear autoregressive (AR) models and self-exciting threshold autoregressive (SETAR) models in terms of their point forecast performance, and their ability to characterize the uncertainty surrounding those forecasts, i.e. interval or density forecasts. A two-regime SETAR process is...

Persistent link: https://www.econbiz.de/10005635554