Contemporaneous-threshold smooth transition GARCH models

DOI10.2202/1558-3708.1755MaRDI QIDQ3081589zbMATH OpenOpenAlexFDO

Authors Michael J. Dueker, Martin Sola, Fabio Spagnolo, Zacharias Psaradakis

Publication date 9 March 2011

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://www.utdt.edu/download.php?fname=_125201432533831800.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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• Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models
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• Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
• Modeling time-varying parameters using artificial neural networks: a GARCH illustration

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