Testing for Threshold Diffusion

Cites Work

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On identification of the threshold diffusion processes
Econometric analysis of jump-driven stochastic volatility models
Quasi-likelihood estimation of a threshold diffusion process
Testing for threshold autoregression
Numerical issues in threshold autoregressive modeling of time series
On continuous-time threshold ARMA processes
Testing for structural change in conditional models
Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
Uniqueness for diffusions with piecewise constant coefficients
Testing for two-regime threshold cointegration in vector error-correction models.
Introduction to stochastic calculus for finance. A new didactic approach.
On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
A Theory of the Term Structure of Interest Rates
Testing a linear time series model against its threshold extension
SELF EXCITING THRESHOLD INTEREST RATES MODELS
A Tukey nonadditivity-type test for time series nonlinearity
Nonlinearity tests for time series
A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
Testing linearity against smooth transition autoregressive models
Foundations of Modern Probability
Testing for threshold autoregression with conditional heteroscedasticity
Likelihood Inference for Discretely Observed Nonlinear Diffusions
Testing and Modeling Threshold Autoregressive Processes
An equilibrium characterization of the term structure