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Evaluating a class of nonlinear time series models

Heinen, Florian - 2010

models of such type. Following the modeling cycle for nonlinear time series models of specification, estimation and …

Persistent link: https://www.econbiz.de/10003960982

Long memory and nonlinearity in conditional variances : a smooth transition FIGARCH model

Kiliç, Rehim - In: Journal of empirical finance 18 (2011) 2, pp. 368-378

Persistent link: https://www.econbiz.de/10009301107

Modeling nonlinearities in the US soybean-to-corn price ratio : a smooth transition autoregression approach

Ubilava, David - In: Agribusiness : an internat. journal 28 (2012) 1, pp. 29-41

Persistent link: https://www.econbiz.de/10009503339

Nonlinear trends in real exchange rates : a panel unit root test approach

Cushman, David O.; Michael, Nils - In: Journal of international money and finance 30 (2011) 8, pp. 1619-1637

Persistent link: https://www.econbiz.de/10009526260

London calling : nonlinear mean reversion across national stock markets

Kim, Hyeongwoo; Kim, Jintae - 2014

Persistent link: https://www.econbiz.de/10010512603

Testing for linear and nonlinear Granger causality in the real exchange rate-consumption relation

Pavlidis, Efthymios G.; Payá, Ivan; Peel, David - In: Economics letters 132 (2015), pp. 13-17

Persistent link: https://www.econbiz.de/10011422757

Forecasting major Asian exchange rates using a new semiparametric STAR model

Cai, Nan; Cai, Zongwu; Fang, Ying; Xu, Qiuhua - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 407-426

Persistent link: https://www.econbiz.de/10011287504

World energy intensity revisited : a cluster analysis

Yu, Yihua; Zhang, Yonghui; Song, Feng - In: Applied economics letters 22 (2015) 13/15, pp. 1158-1169

Persistent link: https://www.econbiz.de/10011312151

Do monetary policy shocks generate TAR or STAR dynamics in output?

Donayre, Luiggi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 2, pp. 227-247

Persistent link: https://www.econbiz.de/10011313585

Smooth transition autoregressive-GARCH model in forecasting non-linear economic time series data

Oyewale, Akintunde Mutairu; Kehinde, Shangodoyin Dahud; … - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 11-19

The regime switching models are particularly popular in the comity of non-linear models; it is of interest to investigate regime switching models with GARCH specification. GARCH model was augmented with STAR model vis-a vis Exponential autoregressive GARCH (EAR-GARCH), Exponential smooth...

Persistent link: https://www.econbiz.de/10009769902