Add to ORKGThe aim of this paper is to justify the use of threshold autoregressive models in financial time series
In this paper we propose a new class of nonlinear time series models, the threshold variable driven ...
AbstractWe analyze the nonlinear time series properties of weekly stock returns using a state depend...
We propose in this paper a threshold nonlinearity test for financial time series. Our approach adopt...
Since the pioneering work by Tong (1978, 1983), threshold time series modelling and its applications...
In this paper we present some nonlinear autoregressive moving average (NARMA) models proposed in the...
This paper proposes a test for threshold nonlinearity in a time series with generalized autoregressi...
SUMMARY: The asymptotic distribution of residual autocorrelations for some very general nonlinear ti...
Most of the earlier work on time series analysis was based on the assumption of linearity of the dat...
This bachelor thesis deals with linear and nonlinear autoregressive models for time series from econ...
The aim of the paper is to examine some of the key issues in nonlinear time series analysis. Tools a...
Financial instruments are known to exhibit abrupt and dramatic changes in behaviour. This paper inve...
The thesis regards theory of nonlinear ARMA models and its application on financial mar- kets data. ...
This paper investigates the behaviour of US stock prices using an unrestricted two-regime threshold ...
Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear m...
This paper investigates the effect of past returns and trading volumes on the temporal behaviour of ...
In this paper we propose a new class of nonlinear time series models, the threshold variable driven ...
AbstractWe analyze the nonlinear time series properties of weekly stock returns using a state depend...
We propose in this paper a threshold nonlinearity test for financial time series. Our approach adopt...
Since the pioneering work by Tong (1978, 1983), threshold time series modelling and its applications...
In this paper we present some nonlinear autoregressive moving average (NARMA) models proposed in the...
This paper proposes a test for threshold nonlinearity in a time series with generalized autoregressi...
SUMMARY: The asymptotic distribution of residual autocorrelations for some very general nonlinear ti...
Most of the earlier work on time series analysis was based on the assumption of linearity of the dat...
This bachelor thesis deals with linear and nonlinear autoregressive models for time series from econ...
The aim of the paper is to examine some of the key issues in nonlinear time series analysis. Tools a...
Financial instruments are known to exhibit abrupt and dramatic changes in behaviour. This paper inve...
The thesis regards theory of nonlinear ARMA models and its application on financial mar- kets data. ...
This paper investigates the behaviour of US stock prices using an unrestricted two-regime threshold ...
Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear m...
This paper investigates the effect of past returns and trading volumes on the temporal behaviour of ...
In this paper we propose a new class of nonlinear time series models, the threshold variable driven ...
AbstractWe analyze the nonlinear time series properties of weekly stock returns using a state depend...
We propose in this paper a threshold nonlinearity test for financial time series. Our approach adopt...