On a threshold autoregression with conditional heteroscedastic variances

DOI10.1016/S0378-3758(96)00196-6zbMath0921.62113OpenAlexW1990030964MaRDI QIDQ1368891

Bernhard Rupp

Publication date: 1 October 1997

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(96)00196-6

zbMATH Keywords

ergodicityARCH modelsfinancial time seriesthreshold autoregressive modelsdouble-threshold autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (22)

Geometric ergodicity of nonlinear autoregressive models with changing conditional variances ⋮ A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries ⋮ On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process ⋮ On the asymmetry in the volatility of financial time series: a buffered transition approach ⋮ Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models ⋮ Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations ⋮ Double threshold autoregressive conditionally heteroscedastic model building by genetic algorithms ⋮ Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models ⋮ Genetic algorithms for building double threshold generalized autoregressive conditional heteroscedastic models of time series ⋮ MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL ⋮ Stability of nonlinear AR-GARCH models ⋮ Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ A simple additivity test for conditionally heteroscedastic nonlinear autoregression ⋮ Contemporaneous asymmetry in GARCH processes ⋮ The stationarity and invertibility of a class of nonlinear ARMA models ⋮ Stability and the Lyapounov exponent of threshold AR-ARCH models ⋮ Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models ⋮ On Some Models for Value-At-Risk ⋮ A local unit root test in mean for financial time series ⋮ ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS ⋮ Testing for a linear MA model against threshold MA models

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