Asymptotic inference in multiple-threshold double autoregressive models
From MaRDI portal
Recommendations
- Quasi-likelihood estimation of structure-changed threshold double autoregressive models
- On the least squares estimation of multiple-regime threshold autoregressive models
- Quasi-maximum exponential likelihood estimation for double-threshold GARCH models
- Inference in TAR Models
- A multivariate threshold GARCH model
Cites work
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 4159917 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3620754 (Why is no real title available?)
- scientific article; zbMATH DE number 469136 (Why is no real title available?)
- scientific article; zbMATH DE number 1423406 (Why is no real title available?)
- scientific article; zbMATH DE number 5224887 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A class of threshold autoregressive conditional heteroscedastic models
- A multiple-threshold AR(1) model
- ARMA MODELS WITH ARCH ERRORS
- Analysis of financial time series
- Asymptotic inference for a nonstationary double AR(1) model
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Asymptotic theory on the least squares estimation of threshold moving-average models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Estimation and Testing Stationarity for Double-Autoregressive Models
- GARCH processes: structure and estimation
- Markov chains and stochastic stability
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On conditionally heteroscedastic AR models with thresholds
- On the least squares estimation of multiple-regime threshold autoregressive models
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- Parameter estimation in nonlinear AR-GARCH models
- Qualitative threshold ARCH models
- Sample Splitting and Threshold Estimation
- Score based goodness-of-fit tests for time series
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- Subsampling inference in threshold autoregressive models
- Testing for threshold autoregression
- Testing for threshold autoregression with conditional heteroscedasticity
- Threshold heteroskedastic models
Cited in
(16)- Asymptotic normality of coefficient estimates for a multidimensional threshold autoregression model
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Generalized threshold latent variable model
- Strict stationarity testing and GLAD estimation of double autoregressive models
- Double generalized threshold models with constraint on the dispersion by the mean
- Frontiers in time series and financial econometrics: an overview
- Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
- Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
- The marginal density of a TMA(1) process
- Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
- Non-crossing quantile double-autoregression for the analysis of streaming time series data
- On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
- On a vector double autoregressive model
- Quasi-maximum exponential likelihood estimation for double-threshold GARCH models
- Quasi-likelihood estimation of structure-changed threshold double autoregressive models
- Sample path properties of an explosive double autoregressive model
This page was built for publication: Asymptotic inference in multiple-threshold double autoregressive models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q888334)
