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Threshold autoregressive models for interval-valued time series data · Study

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ArticleThreshold autoregressive models for interval-valued time series data

Yuying Sun2018

Article2018

Threshold autoregressive models for interval-valued time series data

Yuying Sun · Han Ai · Yongmiao Hong · Shouyang Wang

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

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Time Series Analysis and Forecasting

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1999Threshold effects in non-dynamic panels: Estimation, testing, and inference 2000Sample Splitting and Threshold Estimation 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 2007Oil prices and the stock prices of alternative energy companies 2005Understanding Changes in International Business Cycle Dynamics 2011Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator

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Details

Year2018

Typearticle

Published2018-07-24

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations100

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2018.06.009

openalex_workW2804432385

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