A switching model with flexible threshold variable: with an application to nonlinear dynamics in stock returns

DOI10.1016/J.ECONLET.2013.02.031MaRDI QIDQ2437202zbMATHOpenAlexFDO

Authors Daniele Massacci

Publication date 3 March 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.02.031

zbMATH Keywords

stock returnsthreshold modelflexible threshold variable

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• A smoothed least squares estimator for threshold regression models
• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Sample Splitting and Threshold Estimation
• Threshold models in non-linear time series analysis

Cited in

(6)

• Modeling style rotation: switching and re-switching
• Guest Editors’ Introduction: Regime Switching and Threshold Models
• Flexible Threshold Models for Modelling Interest Rate Volatility
• A nonparametric threshold model with application to zero returns
• Threshold variable determination and threshold variable driven switching autoregressive mod\-els
• Forecasting stock returns: does switching between models help?

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