Combined forecasts from a linear and a nonlinear model are investigated for time series with possibly nonlinear characteristics. The forecasts are combined by a constant coefficient regression method as well as a time varying method. The time varying method allows for a locally (non)linear...

We analyse the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation based estimation method, and detail its use for detecting the threshold effect in threshold moving...

Combined forecasts from a linear and a nonlinear model are investigated for time series with possibly nonlinear characteristics. The forecasts are combined by a constant coefficient regression method as well as a time varying method. The time varying method allows for a locally (non)linear...

Combined forecasts from a linear and a nonlinear model are investigated for time series with possibly nonlinear characteristics. The forecasts are combined by a constant coefficient regression method as well as a time varying method. The time varying method allows for a locally (non)linear...

This work examines how the option and stock markets are related when using the threshold vector error correction model (hereinafter referred to as threshold VECM). Moreover, compared to previous studies in the literature of application of threshold models, this study not only investigates the...