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ArticleThreshold models in time series analysis—Some reflections

Howell Tong2015

Article2015

Threshold models in time series analysis—Some reflections

47 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Statistical Methods and Applications Time Series Analysis and Forecasting

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References

2021Econometric Analysis of Panel Data 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 1998Testing and Modeling Multivariate Threshold Models 2012Structural breaks in time series 2010Modelling Nonlinear Economic Time Series 2011Threshold autoregression in economics

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2017Does the OVX matter for volatility forecasting? Evidence from the crude oil market 2019A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA

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Year2015

Typearticle

Published2015-04-11

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations47

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2015.03.039

openalex_workW2030902255

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