Some new results for threshold AR(1) models

DOI10.2202/1941-1928.1085zbMATH Open1266.62065OpenAlexW1991123214MaRDI QIDQ4928540FDOQ4928540

Authors:

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1941-1928.1085

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Stationary stochastic processes (60G10)

Cited In (3)

• The marginal distribution function of threshold-type processes with central symmetric innovations
• Title not available (Why is that?)
• What proportion of time is a particular market inefficient? {\dots} A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions

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