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Modelling economic high-frequency time series

Lundbergh, Stefan; Teräsvirta, Timo - 1999

In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests...

Persistent link: https://www.econbiz.de/10011300552

Specification, estimation and evaluation of vector smooth transition autoregressive models with applications

Teräsvirta, Timo; Yang, Yukai - 2014

Persistent link: https://www.econbiz.de/10010336592

Modelling autoregressive processes with a shifting mean

González, Andrés; Teräsvirta, Timo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10009513641

A sequential procedure for determining the number of regimes in a threshold autoregressive model

Strikholm, Birgit; Teräsvirta, Timo - In: The econometrics journal 9 (2006) 3, pp. 472-491

Persistent link: https://www.econbiz.de/10003390166

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a reexamination

Teräsvirta, Timo (contributor); Dijk, Dick van (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002220582

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination

Teräsvirta, Timo (contributor); Dijk, Dick van (contributor) - 2004 - [Elektronische Ressource], Rev. November 9, 2004

In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...

Persistent link: https://www.econbiz.de/10002127012

A time series model for an exchange rate in a target zone with applications

Lundbergh, Stefan; Teräsvirta, Timo - In: Journal of econometrics 131 (2006) 1/2, pp. 579-609

Persistent link: https://www.econbiz.de/10003298619

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination

Teräsvirta, Timo; Dijk, Dick van; Medeiros, Marcelo C. - In: International journal of forecasting 21 (2005) 4, pp. 755-774

Persistent link: https://www.econbiz.de/10003150707

Comments on "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination

Novales, Alfonso - In: International journal of forecasting 21 (2005) 4, pp. 775-780

Persistent link: https://www.econbiz.de/10003150708

Reply: [Comments on "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination]

Teräsvirta, Timo; Dijk, Dick van; Medeiros, Marcelo C. - In: International journal of forecasting 21 (2005) 4, pp. 781-783

Persistent link: https://www.econbiz.de/10003150710