Threshold models in time series analysis -- some reflections

DOI10.1016/J.JECONOM.2015.03.039zbMath1337.62281OpenAlexW2030902255MaRDI QIDQ888344

Howell Tong

Publication date: 30 October 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.039

zbMATH Keywords

asymmetryhysteresissplineshidden Markov chainstochastic volatilitybusiness cyclevolatilitymixture of distributionscatastropheMarkov switching modelstructural breaksGARCH modelthreshold autoregressive modelsnon-stationarityopen-loop systemthreshold principlemis-specified modeljump resonanceBayesian decisionall-step-ahead predictionconditionally heteroscedastic autoregressive models with thresholdsnon-likelihood approachnonlinear unit rootpanel threshold modelpositive-valued time seriessmooth threshold autoregressive modelsthreshold moving average modelsthreshold unit rootwrong model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items (11)

Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ Frontiers in time series and financial econometrics: an overview ⋮ Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models ⋮ The Marginal Density of a TMA(1) Process ⋮ Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ The validity of bootstrap testing for threshold autoregression ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ Fitting a two phase threshold multiplicative error model ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models ⋮ Forecasting with Multivariate Threshold Autoregressive Models

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