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Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

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Does macroeconomics help in predicting stock markets volatility comovements? : a nonlinear approach

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Nonlinearity in forecasting of high-frequency stock returns

Reboredo, Juan Carlos; Matías, José M.; … - In: Computational economics 40 (2012) 3, pp. 245-264

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The Markov switching multi-fractal model of asset returns : estimation and forecasting of dynamic volatitility with multinomial specifications

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Nonlinear and time-varying risk premia

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Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10014190297