Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use

DOI10.1080/10920277.2004.10596170zbMath1085.62119OpenAlexW1936889669MaRDI QIDQ5715996

Albert C. S. Wong, Howell Tong, Wai Sum Chan

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596170

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (12)

Self-exciting threshold binomial autoregressive processes ⋮ A self-exciting threshold jump-diffusion model for option valuation ⋮ The real consequences of financial stress ⋮ On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One ⋮ On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models ⋮ ECONOMIC SCENARIO GENERATOR AND PARAMETER UNCERTAINTY: A BAYESIAN APPROACH ⋮ Multivariate time series prediction using a hybridization of VARMA models and Bayesian networks ⋮ Updating Wilkie’s Economic Scenario Generator for U.S. Applications ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models ⋮ Estimating a Banking-Macro Model Using a Multi-regime VAR ⋮ ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model

Uses Software

• FinTS

Cites Work

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