Search Results - subject:"Logistic smooth transition"

Nonlinear Regime Shifts in Oil Price Hedging Dynamics

Cifarelli, Giulio - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2011

The interaction between rational hedgers and informed oil traders is parameterized and tested empirically with the help of a complex non linear smooth transition regime shift CCC-GARCH procedure. In spite of their gyrations, futures price changes are usually self-correcting. Well informed...

Persistent link: https://www.econbiz.de/10009291773

Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models

Qu, Hui; Chen, Wei; Niu, Mengyi; Li, Xindan - In: Energy economics 54 (2016), pp. 68-76

Persistent link: https://www.econbiz.de/10011662756

Impact asymétrique de la variation du prix du pétrole sur les rendements boursiers : une étude empirique sur l’indice SP 500

He, Jie; Njipkap, Maurice Ngoko; Richard, Patrick - Département d'économique, Faculté d'administration - 2010

Nous utilisons un modèle LSTVAR (Logistic Smooth transition Vector Auto Regression) pour questionner la présence d …

Persistent link: https://www.econbiz.de/10008516080

Choice of functional form in the nonlinear Taylor rule : the case of Pakistan

Fatima, Marukh; Malik, Wasim Shahid - In: Pakistan economic and social review : incorporating the … 53 (2015) 2, pp. 225-250

Persistent link: https://www.econbiz.de/10011883500

Oil market dynamics: A Markow chain analysis.

Parravano, Melanie; Pedauga, Luis Enrique - In: Economía 33 (2008) 25, pp. 87-115

Order Markov Process, in which transition probabilities vary in time by means of a logistic smooth transition function …

Persistent link: https://www.econbiz.de/10004966351

Comparing smooth transition and Markov switching autoregressive models of US Unemployment

Deschamps, Philippe J. - Departement für Quantitative Wirtschaftsforschung, … - 2007

Logistic smooth transition and Markov switching autoregressive models of a logistic transform of the monthly US …

Persistent link: https://www.econbiz.de/10005622939

Oil price effects on personal consumption expenditures

Wang, Yu Shan - In: Energy Economics 36 (2013) C, pp. 198-204

This paper uses a logistic smooth transition model to examine the impact of rising oil prices on personal consumption …

Persistent link: https://www.econbiz.de/10010616841

Smooth transition regime shifts and oil price dynamics

Cifarelli, Giulio - In: Energy Economics 38 (2013) C, pp. 160-167

Persistent link: https://www.econbiz.de/10010665580

Smooth transition regime shifts and pil price dynamics

Cifarelli, Giulio - In: Energy economics 38 (2013), pp. 160-167

Persistent link: https://www.econbiz.de/10009764597

Oil price effects on personal consumption expenditures

Wang, Yu-shan - In: Energy economics 36 (2013), pp. 198-204

Persistent link: https://www.econbiz.de/10009724733

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