Narrow search
Showing 1 - 10 of 48,346
Cover Image
Random walk smooth transition autoregressive models
Anderson, Heather M.; Low, Chin Nam - In: Nonlinear time series analysis of business cycles, (pp. 247-281). 2006
This paper extends the family of smooth transition autoregressive (STAR) models by proposing a speci.cation in which the autoregressive parameters follow random walks. The random walks in the parameters capture permanent structural change within a regime switching framework, but in contrast to...
Persistent link: https://www.econbiz.de/10003309371
Cover Image
An introduction to univariate GARCH models
Teräsvirta, Tim - In: Handbook of financial time series, (pp. 17-42). 2009
Persistent link: https://www.econbiz.de/10003833776
Cover Image
Nonlinear tools for analyzing and forecasting financial time series : an application to US interest rates
Wesner, Nicolas - In: International finance and monetary policy, (pp. 157-186). 2006
Persistent link: https://www.econbiz.de/10003459477
Cover Image
A nonlinear structural model for volatility clustering
Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006
Persistent link: https://www.econbiz.de/10003375647
Cover Image
Functionals associated with gradient stochastic flows and nonlinear SPDEs
Iftimie, Bogdan; Mazurencu Marinescu, Miruna; Vârsan, … - In: Advanced mathematical methods for finance, (pp. 397-415). 2011
Persistent link: https://www.econbiz.de/10008991280
Cover Image
Fractional smoothness and applications in finance
Geiss, Stefan; Gobet, Emmanuel - In: Advanced mathematical methods for finance, (pp. 313-331). 2011
Persistent link: https://www.econbiz.de/10008991284
Cover Image
Application of Copula models for modeling one-dimensional time series
Onishchenko, Vadim; Penikas, Henry - In: Financial econometrics and empirical market microstructure, (pp. 225-239). 2015
Persistent link: https://www.econbiz.de/10011326630
Cover Image
Forecasting using nonlinear long memory models with artificial neural network expansion
Chaleampong Kongcharoen - In: Uncertainty analysis in econometrics with applications …, (pp. 241-254). 2013
Persistent link: https://www.econbiz.de/10009711144
Cover Image
Modelling asymmetrie cointegration and dynamic multipliers in a nonlinear ARDL framework
Shin, Yongcheol; Yu, Byungchul; Greenwood-Nimmo, Matthew - In: Festschrift in honor of Peter Schmidt : econometric …, (pp. 281-314). 2014
Persistent link: https://www.econbiz.de/10011559038
Cover Image
Nonlinear cointegration using Lyapunov stability theory
Markellos, Raphaēl N. - In: Progress in financial markets research, (pp. 289-309). 2012
Persistent link: https://www.econbiz.de/10009678542