Add to ORKGA growing body of threshold models has been developed over the past two decades to capture the nonlinear movement of financial time series. Most of these models, however, contain a single threshold variable only. In many empirical applications, models with two or more threshold variables are needed. This paper develops a new threshold autoregressive model which contains two threshold variables. A likelihood ratio test is proposed to determine the number of regimes in the model. The finite-sample performance of the estimators is evaluated and an empirical application is provided
Nonlinear time series are time series that are not stable due to a sudden jump. Nonlinear time serie...
In this paper we propose a method for determining the number of regimes in threshold autoregressive ...
This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a...
A growing body of threshold models has been developed over the past two decades to capture the nonli...
Financial instruments are known to exhibit abrupt and dramatic changes in behaviour. This paper inve...
Conventional threshold models contain only one threshold variable. This paper provides the theoretic...
Bayesian analysis of threshold autoregressive (TAR) model with various possible thresholds is consid...
In the financial market, the volatility of financial assets plays a key role in the problem of measu...
A distribution theory is developed for least-squares estimates of the threshold in Threshold Autoreg...
Conventional threshold models contain only one threshold variable. Such models are of limited econom...
Most threshold models to-date contain a single threshold variable. However, in many empirical applic...
<div><p>The threshold autoregressive (TAR) model is a class of nonlinear time series models that hav...
The threshold autoregressive (TAR) model and the smooth threshold autoregressive (STAR) model have b...
Since the pioneering work by Tong (1978, 1983), threshold time series modelling and its applications...
This paper proposes a testing integration and threshold integration procedure of interest rate and i...
Nonlinear time series are time series that are not stable due to a sudden jump. Nonlinear time serie...
In this paper we propose a method for determining the number of regimes in threshold autoregressive ...
This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a...
A growing body of threshold models has been developed over the past two decades to capture the nonli...
Financial instruments are known to exhibit abrupt and dramatic changes in behaviour. This paper inve...
Conventional threshold models contain only one threshold variable. This paper provides the theoretic...
Bayesian analysis of threshold autoregressive (TAR) model with various possible thresholds is consid...
In the financial market, the volatility of financial assets plays a key role in the problem of measu...
A distribution theory is developed for least-squares estimates of the threshold in Threshold Autoreg...
Conventional threshold models contain only one threshold variable. Such models are of limited econom...
Most threshold models to-date contain a single threshold variable. However, in many empirical applic...
<div><p>The threshold autoregressive (TAR) model is a class of nonlinear time series models that hav...
The threshold autoregressive (TAR) model and the smooth threshold autoregressive (STAR) model have b...
Since the pioneering work by Tong (1978, 1983), threshold time series modelling and its applications...
This paper proposes a testing integration and threshold integration procedure of interest rate and i...
Nonlinear time series are time series that are not stable due to a sudden jump. Nonlinear time serie...
In this paper we propose a method for determining the number of regimes in threshold autoregressive ...
This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a...