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A Gaussian mixture autoregressive model for univariate time series
Kalliovirta, Leena; Meitz, Mika; Saikkonen, Pentti - 2012
Persistent link: https://www.econbiz.de/10009627445
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Automatic specification testing for vector autoregressions and multivariate nonlinear time series models
Escanciano, Juan Carlos; Lobato, Ignacio N.; Zhu, Lin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 426-437
Persistent link: https://www.econbiz.de/10010337859
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Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613
Persistent link: https://www.econbiz.de/10011485602
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Revisiting purchasing power parity for India using threshold cointegration and nonlinear unit root test
Tiwari, Aviral Kumar; Shahbaz, Muhammad - In: Economic change and restructuring : empirical and … 47 (2014) 2, pp. 117-133
Persistent link: https://www.econbiz.de/10010408390
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Smooth transition autoregressive models : new approaches to the model selection problem
Maringer, Dietmar G.; Meyer, Mark - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009513637
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Optimal formulations for nonlinear autoregressive processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
theoretic optimality of the score driven nonlinear autoregressive process and the asymptotic theory for maximum likelihood …
Persistent link: https://www.econbiz.de/10010390075
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Time series mean level and stochastic volatility modeling by smooth transition autoregressions : a Bayesian approach
Lopes, Hedibert Freitas; Salazar, Esther - 2006
Persistent link: https://www.econbiz.de/10003350097
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Using extraneous information and GMM to estimate threshold parameters in TAR models
Kapetanios, George (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001868138
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Robustness of alternative non-linearity tests for SETAR models
Chan, Wai-Sum; Ng, Man-wai - In: Journal of forecasting 23 (2004) 3, pp. 215-231
Persistent link: https://www.econbiz.de/10002027376