Threshold models in time series analysis -- some reflections
all-step-ahead predictionasymmetryBayesian decisionbusiness cyclecatastropheconditionally heteroscedastic autoregressive models with thresholdsGARCH modelhidden Markov chainhysteresisjump resonanceMarkov switching modelmis-specified modelmixture of distributionsnon-likelihood approachnon-stationaritynonlinear unit rootopen-loop systempanel threshold modelpositive-valued time seriessmooth threshold autoregressive modelssplinesstochastic volatilitystructural breaksthreshold autoregressive modelsthreshold moving average modelsthreshold principlethreshold unit rootvolatilitywrong model
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
- A generalized threshold mixed model for analyzing nonnormal nonlinear time series, with application to plague in Kazakhstan
- A multiple-threshold AR(1) model
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A nonlinear panel data model of cross-sectional dependence
- A note on the equivalence of two approaches for specifying a Markov process
- A procedure for the modeling of non-stationary time series
- A review of threshold time series models in finance
- Approximating data
- Feature matching in time series modeling
- Hidden Markov Models for Time Series
- scientific article; zbMATH DE number 3675177 (Why is no real title available?)
- scientific article; zbMATH DE number 3742453 (Why is no real title available?)
- scientific article; zbMATH DE number 47310 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 147184 (Why is no real title available?)
- scientific article; zbMATH DE number 3535521 (Why is no real title available?)
- scientific article; zbMATH DE number 3594317 (Why is no real title available?)
- scientific article; zbMATH DE number 3594513 (Why is no real title available?)
- scientific article; zbMATH DE number 775742 (Why is no real title available?)
- scientific article; zbMATH DE number 3374705 (Why is no real title available?)
- Maximum likelihood estimation of a generalized threshold stochastic regression model
- Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
- Modelling Nonlinear Economic Time Series
- Non-parametric change-point tests for long-range dependent data
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric estimation in null recurrent time series.
- On a Mixture Autoregressive Model
- On conditionally heteroscedastic AR models with thresholds
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- On moving-average models with feedback
- ON THE EXISTENCE OF THE STATIONARY AND ERGODIC NEAR(p) MODEL
- Structural breaks in time series
- Testing and Modeling Multivariate Threshold Models
- Testing and Modeling Threshold Autoregressive Processes
- Testing for Common Structures in a Panel of Threshold Models
- The analysis of some discontinuous decision processes
- Threshold models in non-linear time series analysis
- Threshold models in time series analysis -- 30 years on
- Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
- Ian McLeod’s Contribution to Time Series Analysis—A Tribute
- Forecasting with Multivariate Threshold Autoregressive Models
- Simulation and application of subsampling for threshold autoregressive moving-average models
- Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
- The marginal density of a TMA(1) process
- Fitting a two phase threshold multiplicative error model
- 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
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
- The validity of bootstrap testing for threshold autoregression
- On the existence of stationary threshold bilinear processes
- Bayesian estimation and model selection of a multivariate smooth transition autoregressive model
- Weighted forecasts from SETARs with single- and multiple thresholds
- Forecasting based on a multivariate autoregressive threshold model (MTAR) with a multivariate Student’s t error distribution: A Bayesian approach
- Regime-specific exchange rate predictability
- Robust Estimation for Threshold Autoregressive Moving-Average Models
- Bayesian empirical likelihood inference and order shrinkage for a hysteretic autoregressive model
- Generalized multivariate threshold autoregressive models with linearly partitioned threshold space
- Frontiers in time series and financial econometrics: an overview
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