On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two

DOI10.2307/1427867zbMath0882.60079OpenAlexW2318351345MaRDI QIDQ4339347

Ruth J. Williams, Peter J. Brockwell

Publication date: 18 February 1998

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427867

zbMATH Keywords

stochastic differential equationdegenerate diffusionnonlinear time seriesmartingale problemthreshold autoregressionCameron-Martin-Girsanov formularandom time-change

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Transition functions, generators and resolvents (60J35)

Related Items (6)

Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets ⋮ Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ The local linearization scheme for nonlinear diffusion models with discontinuous coefficients ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients

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