Search Results - subject:"Threshold Autoregressive"

A Note on the Finite Sample Properties of the CLS Method of TAR Models

Vavra, Marian - Birkbeck, Department of Economics, Mathematics & Statistics - 2012

In this paper we focus on the finite sample properties of the conditional least squares (CLS) method of threshold … autoregressive (TAR) parameters under the following conditions: (a) non-Gaussian model innovations; (b) two types of asymmetry (i …

Persistent link: https://www.econbiz.de/10010886263

Half Life of the Real Exchange Rate: Evidence from the Nonlinear Approach in Emerging Economies

King, Chin-Ping - In: Journal of Economics and Management 8 (2012) 1, pp. 1-23

behavior of the real exchange rates in emerging economies. We use the band threshold autoregressive model (band TAR model) to …

Persistent link: https://www.econbiz.de/10010533742

No linealidad y asimetría en el proceso generador del Índice IBEX35

Belda, Paz Rico - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2012

This paper analyzes the behavior of Ibex35 from January 1999 to December 2001, in order to check if it follows a different process from random walk so its return is not a white noise and it can be predictable, against the efficient market hypothesis. For that, a nonlinear generating process of...

Persistent link: https://www.econbiz.de/10010615142