Ask
Search
My library
ORKG

ORKG Ask

Our mission is to organize scholarly knowledge and make it accessible to humans and machines.

About

About ORKG Ask
Report issue
Statistics
Contact

Legal

Terms of use
Data protection (sheet)
Imprint
Accessibility
License

Technical

We
open source
System status
Changelog
Frontend: v1.41.0
Backend: v1.13.4

We use cookies to provide a better user experience.

Data Protection

Numerical issues in threshold autoregressive modeling of time series

Coakley, J.
Fuertes, A.
Perez, M.
Birkbeck Coll., London (United Kingdom). Dept. of Economics

Publication date

January 2000

Abstract

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9148(12/2000) / BLDSC - British Library Document Supply CentreGBUnited Kingdo

Extracted data

Related items

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Krolzig, H.
Clements, M.P.
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:9261.960(489) / BLDSC - British Libra...

Performance of alternative forecasting methods for SETAR models

Clements, M.P.
Smith, J
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1996

SETAR - Self Exciting Threshold AutoRegressiveSIGLEAvailable from British Library Document Supply Ce...

Model selection in threshold models

Kapetanios, G.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9906) / BLDSC - British Libr...

A study of threshold autoregressive models with some applications

Thanoon, B.Y

January 1984

SIGLEAvailable from British Library Document Supply Centre- DSC:D173813 / BLDSC - British Library Do...

On threshold time series modelling

Lim, K

January 1981

SIGLEAvailable from British Library Document Supply Centre- DSC:D41845/82 / BLDSC - British Library ...

Threshold models for trended time series

Kapetanios, G.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9905) / BLDSC - British Libr...

Aspects of Bayesian threshold autoregressive modelling

Kheradmandnia, M

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:DX170037 / BLDSC - British Library D...

Threshold autoregressive modelling in finance The price differences of equivalent assets

Yadav, P.K.
Pope, P.F.
Paudyal, K.
Strathclyde Univ., Glasgow (United Kingdom). Dept. of Accounting and Finance

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.21465(93/052) / BLDSC - British ...

Threshold autoregressive and Markov switching models An application to commercial real estate

Maitland-Smith, J.
Brooks, C
Reading Univ. (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.993(118) / BLDSC - British Libra...

Bootstrap methods and parameter estimation in time series threshold modelling

Mekaiel, M.M

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:DXN002155 / BLDSC - British Library ...

Recent developments in modelling nonstationary vector autoregressions

Mills, T.C.
Loughborough Univ. of Technology (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3654.479(96/21) / BLDSC - British Lib...

A graphical modelling approach to time series

Reale, M.

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN026649 / BLDSC - British Library D...

Modelling futures mispricing using self exciting threshold autoregressive processes

Pope, P.
Yadav, P
Strathclyde Univ., Glasgow (United Kingdom). Dept. of Accounting and Finance

January 1990

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.21465(SU-DAF-WP--90/019) / BLDS...

Time varying coefficient models

Riddington, G.
Glasgow Polytechnic (United Kingdom). Dept. of Economics

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.20795(14) / BLDSC - British Libr...

On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling

Li, WK

January 1992

SUMMARY: The asymptotic distribution of residual autocorrelations for some very general nonlinear ti...

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Krolzig, H.
Clements, M.P.
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:9261.960(489) / BLDSC - British Libra...

Performance of alternative forecasting methods for SETAR models

Clements, M.P.
Smith, J
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1996

SETAR - Self Exciting Threshold AutoRegressiveSIGLEAvailable from British Library Document Supply Ce...

Model selection in threshold models

Kapetanios, G.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9906) / BLDSC - British Libr...

A study of threshold autoregressive models with some applications

Thanoon, B.Y

January 1984

SIGLEAvailable from British Library Document Supply Centre- DSC:D173813 / BLDSC - British Library Do...

On threshold time series modelling

Lim, K

January 1981

SIGLEAvailable from British Library Document Supply Centre- DSC:D41845/82 / BLDSC - British Library ...

Threshold models for trended time series

Kapetanios, G.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9905) / BLDSC - British Libr...

Aspects of Bayesian threshold autoregressive modelling

Kheradmandnia, M

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:DX170037 / BLDSC - British Library D...

Threshold autoregressive modelling in finance The price differences of equivalent assets

Yadav, P.K.
Pope, P.F.
Paudyal, K.
Strathclyde Univ., Glasgow (United Kingdom). Dept. of Accounting and Finance

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.21465(93/052) / BLDSC - British ...

Threshold autoregressive and Markov switching models An application to commercial real estate

Maitland-Smith, J.
Brooks, C
Reading Univ. (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.993(118) / BLDSC - British Libra...

Bootstrap methods and parameter estimation in time series threshold modelling

Mekaiel, M.M

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:DXN002155 / BLDSC - British Library ...

Recent developments in modelling nonstationary vector autoregressions

Mills, T.C.
Loughborough Univ. of Technology (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3654.479(96/21) / BLDSC - British Lib...

A graphical modelling approach to time series

Reale, M.

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN026649 / BLDSC - British Library D...

Modelling futures mispricing using self exciting threshold autoregressive processes

Pope, P.
Yadav, P
Strathclyde Univ., Glasgow (United Kingdom). Dept. of Accounting and Finance

January 1990

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.21465(SU-DAF-WP--90/019) / BLDS...

Time varying coefficient models

Riddington, G.
Glasgow Polytechnic (United Kingdom). Dept. of Economics

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.20795(14) / BLDSC - British Libr...

On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling

Li, WK

January 1992

SUMMARY: The asymptotic distribution of residual autocorrelations for some very general nonlinear ti...

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Krolzig, H.
Clements, M.P.
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:9261.960(489) / BLDSC - British Libra...

Performance of alternative forecasting methods for SETAR models

Clements, M.P.
Smith, J
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1996

SETAR - Self Exciting Threshold AutoRegressiveSIGLEAvailable from British Library Document Supply Ce...

Model selection in threshold models

Kapetanios, G.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9906) / BLDSC - British Libr...