Multivariate contemporaneous-threshold autoregressive models
DOI10.1016/J.JECONOM.2010.09.011zbMATH Open1441.62672OpenAlexW3123861484MaRDI QIDQ737288FDOQ737288
Authors: Michael J. Dueker, Zacharias Psaradakis, Martin Sola, Fabio Spagnolo 
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.utdt.edu/download.php?fname=_125201361827983200.pdf
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Cited In (13)
- Multivariate elliptically contoured autoregressive process
- Penalized estimation of threshold auto-regressive models with many components and thresholds
- Testing for observation-dependent regime switching in mixture autoregressive models
- Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- Multivariate Continuation Ratio Models: Connections and Caveats
- Contemporaneous-threshold smooth transition GARCH models
- Multivariate smooth transition AR model with aggregation operators and application to exchanges rates
- Forecasting with Multivariate Threshold Autoregressive Models
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- Gaussian mixture vector autoregression
- Smooth transition simultaneous equation models
- Testing and Modeling Multivariate Threshold Models
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