We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...

In this paper, nonlinear models are restricted to mean nonlinear parametric models. Several such models popular in time series econometrics are presented and some of their properties discussed. This includes two models based on universal approximators: the Kolmogorov-Gabor polynomial model and...

In the past decade, the popularity of realized measures and various linear models for volatility forecasting has attracted attention in the literature on the price variability of energy markets. However, results that would guide practitioners to a specific estimator and model when aiming for the...