Multivariate contemporaneous-threshold autoregressive models
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Cites work
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
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Cited in
(14)- Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
- Multivariate Continuation Ratio Models: Connections and Caveats
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- Multivariate elliptically contoured autoregressive process
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- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Contemporaneous-threshold smooth transition GARCH models
- Testing for observation-dependent regime switching in mixture autoregressive models
- Multivariate smooth transition AR model with aggregation operators and application to exchanges rates
- Smooth transition simultaneous equation models
- Forecasting with Multivariate Threshold Autoregressive Models
- Testing and Modeling Multivariate Threshold Models
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- Gaussian mixture vector autoregression
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