We propose moving average threshold heterogeneous autoregressive (MAT-HAR) models as a novel combination of heterogeneous autoregression (HAR) and threshold autoregression (TAR). The MAT-HAR has multiple groups of lags of a target series, and a threshold term can appear in each group. The...

The existing literature of copula-based regression assumes that complete data are available, but this assumption is violated in many real applications. The present paper allows the regressand and regressors to be missing at random (MAR). We formulate a generalized regression model which unifies...

The existing vector heterogeneous autoregression (VHAR) does not allow for threshold effects. The threshold autoregressions are well established in the literature, but the presence of an unknown threshold complicates inference. To resolve this dilemma, we propose the vector moving average...

Key Features:Evaluates the policy problem of the Euro area from various fields, such as monetary, fiscal and exchange rate policy etc.Apply recently developed econometric techniques (i.e., non-stationary time series analysis) to empirical analysis.

Recent developments in the natural gas industry warrant new analysis of related issues. Environmental, social, and governance (ESG) investments have accelerated the shi􀀴 away from coal as the dominant source of electricity. Its low environmental impact, reduced volume, and broad availability...

Artificial intelligence (AI) is regarded as the science and technology for producing an intelligent machine, particularly, an intelligent computer program. Machine learning is an approach to realizing AI comprising a collection of statistical algorithms, of which deep learning is one such...