A switching model with flexible threshold variable: with an application to nonlinear dynamics in stock returns
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Publication:2437202
DOI10.1016/J.ECONLET.2013.02.031zbMATH Open1282.91259OpenAlexW1982545472MaRDI QIDQ2437202FDOQ2437202
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
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Cites Work
- Title not available (Why is that?)
- 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
- A smoothed least squares estimator for threshold regression models
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
Cited In (5)
- Forecasting stock returns: does switching between models help?
- Flexible Threshold Models for Modelling Interest Rate Volatility
- Threshold variable determination and threshold variable driven switching autoregressive mod\-els
- Modeling style rotation: switching and re-switching
- A nonparametric threshold model with application to zero returns
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