We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not...

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not...

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

In this paper we present, propose and examine additional membership functions for the Smoothing Transition Autoregressive (STAR) models. More specifically, we present the tangent hyperbolic, Gaussian and Generalized bell functions. Because Smoothing Transition Autoregressive (STAR) models follow...

In this paper we propose and examine an Adaptive Neuro-Fuzzy Inference System (ANFIS) in Smoothing Transition Autoregressive (STAR) modeling. Because STAR models follow fuzzy logic approach, in the non-linear part fuzzy rules can be incorporated or other training or computational methods can be...

In this paper we present, propose and examine additional membership functions as also we propose least squares with genetic algorithms optimization in order to find the optimum fuzzy membership functions parameters. More specifically, we present the tangent hyperbolic, Gaussian and Generalized...

In this paper we present the Radial Basis Neural Network Function. We examine some simple numerical examples of time-series in economics and finance. The forecasting performance is significant superior, especially in financial time-series, to traditional econometric modeling indicating that...