Threshold Structures in Economic and Financial Time Series

DOI10.1007/978-3-319-02499-8_21zbMath1407.62323OpenAlexW252845637MaRDI QIDQ4561917

Cosimo Damiano Vitale, Marcella Niglio

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_21

zbMATH Keywords

forecast accuracyARMA modelconsumer price indexasymmetric effectthreshold variable

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

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• Testing a linear time series model against its threshold extension
• Statistical Properties of Threshold Models
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On strict stationarity and ergodicity of a non-linear ARMA model
• Large sample properties of parameter least squares estimates for time‐varying arma models
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Modelling Nonlinear Economic Time Series

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