We propose information theoretic tests for serial independence and linearity in time series against nonlinear dependence on lagged variables, based on the conditional mutual information. The conditional mutual information, which is a general measure for dependence, is estimated using the...

While there has been a great deal of interest in the modelling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time-series models. We evaluate the performance of two leading non-linear models in forecasting post-war US...

Summary We apply the Threshold Autoregressive Conditional Duration Model (TACD) as proposed by Zhang, Russell, and Tsay (1999) to model the after market trading duration process associated with the initial public offering of the Deutsche Telekom AG share in November of 1996. Special emphasis is...

Estimation of complexity is of great interest in nonlinear signal and system analysis. Several complexity measures have been proposed: Lyapunov exponents, Lempel and Ziv, approximate entropy. In the present study, complexity measures derived from Shannon entropy,...

We apply the Threshold Autoregressive Conditional Duration Model (TACD) as proposed by Zhang, Russell, and Tsay (1999) to model the after market trading duration process associated with the initial public offering of the Deutsche Telekom AG share in November of 1996. Special emphasis is devoted...

This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ease with which the Bayesian stochastic volatility model can now be studied routinely via BUGS...