This paper investigates whether the Istanbul Stock Exchange (ISE) prices can be characterized as a random walk or mean reversion process in a non-linear framework. We employ an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root based on bootstrap...

This thesis is mainly concerned with the estimation of parameters of a first-order Smooth Threshold Autoregressive (STAR) model with delay parameter one. The estimation procedures include classical and Bayesian methods from a parametric and a semiparametric point of view.As the theoretical...

This paper investigates the behaviour of interest rates in Turkey using a two-regime TAR model with an autoregressive unit root. This method recently developed by Caner and Hansen [Threshold autoregression with a unit roots, Econometrica 69 (6) (2001) 1555–1596] allows to simultaneously...

This paper investigates the behaviour of US stock prices using an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. The TAR model is applied to monthly stock price (NYSE Common Stocks) data for the US for the period 1964:06 to 2003:04. Amongst our...

In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of commonly used nonlinear models are presented. The next section is devoted to methods of testing linearity, which is an important part of nonlinear model building. Techniques of...