THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1

DOI10.1111/J.1467-9965.1994.TB00058.XMaRDI QIDQ4372035zbMATH OpenOpenAlexFDO

Authors Pradeep Kumar Yadav, Peter F. Pope, Krishna Paudyal

Publication date 5 April 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1994.tb00058.x

zbMATH Keywords

arbitrageautoregressivecointegrationSETARthreshold

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• Theory and applications of TAR model with two threshold variables
• Testing and Modeling Multivariate Threshold Models
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• A review of threshold time series models in finance

Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• scientific article; zbMATH DE number 3679003 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Some Algorithms for Linear Spline and Piecewise Multiple Linear Regression
• Testing and Modeling Threshold Autoregressive Processes
• Threshold models in non-linear time series analysis

Cited in

(13)

• Robust variable selection and estimation in threshold regression model
• A bivariate threshold time series model for analyzing Australian interest rates
• The behaviour of US stock prices: Evidence from a threshold autoregressive model
• Asymptotic theory on the least squares estimation of threshold moving-average models
• A self-exciting threshold jump-diffusion model for option valuation
• scientific article; zbMATH DE number 1348440 (Why is no real title available?)
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• Efficient estimation in semiparametric self-exciting threshold INAR processes
• Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
• A review of threshold time series models in finance
• Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model

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