Search Results - subject:"Threshold Models"

Stationarity and geometric ergodicity of a class of nonlinear ARCH models

Saidi, Youssef; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2006

A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis...

Persistent link: https://www.econbiz.de/10011167230

Inflation and relative price variability in the euro area: evidence from a panel threshold model

Scharff, Juliane; Nautz, Dieter - Deutsche Bundesbank - 2006

In recent macroeconomic theory, relative price variability (RPV) generates the central distortions of inflation. This paper provides first evidence on the empirical relation between inflation and RPV in the euro area focusing on threshold effects of inflation. We find that expected inflation...

Persistent link: https://www.econbiz.de/10005083111

Threshold model of cascades in empirical temporal networks

Karimi, Fariba; Holme, Petter - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 16, pp. 3476-3483

Threshold models try to explain the consequences of social influence like the spread of fads and opinions. Along with … models of epidemics, they constitute a major theoretical framework of social spreading processes. In threshold models on … temporal patterns slow down disease spreading. However, as we will see, this is not a universal truth for threshold models. In …

Persistent link: https://www.econbiz.de/10010872315

Asymmetric adjustments in the spread of lending and deposit rates: Evidence from extended threshold unit root tests

Lee, Junsoo; Strazicich, Mark C.; Yu, Byung Chul - In: Review of Financial Economics 22 (2013) 4, pp. 187-193

In this paper, we test for asymmetric adjustments in the spread of the U.S. prime lending rate and 3-month certificate of deposit rate. In doing so, we extend the pioneering threshold unit root tests of Enders and Granger (1998) to more flexible models where the deterministic terms and short-run...

Persistent link: https://www.econbiz.de/10010875031

Oil prices and economic activity in Greece

Papapetrou, Evangelia - In: Economic Change and Restructuring 46 (2013) 4, pp. 385-397

The paper studies the relationship between oil prices and economic activity in Greece during the period 1982:1–2008:8. Different empirical methods are used to estimate whether oil price changes affect asymmetrically the economic activity. A regime-switching model (RS-R) and a threshold...

Persistent link: https://www.econbiz.de/10010865867

Liberalization Process and Financial Instability: A Mediterranean Perspective

Wafa, Aidi - In: Journal of Economic Integration 28 (2013), pp. 59-84

the ability of the threshold models to gauge financial liberalization dynamics. We provide empirical evidence from 9 MENA …

Persistent link: https://www.econbiz.de/10010991773

Optima exchange crisis regression and twin crisis: Evidences for some MENA countries

Aidi, Wafa - In: Economic Modelling 33 (2013) C, pp. 306-311

Edwards (2009), this note advocates the preeminence of threshold models relatively to classical linear models in sizing the …

Persistent link: https://www.econbiz.de/10011048769

Threshold models of technological transitions

Zeppini, Paolo; Frenken, Koen; Kupers, Roland - Eindhoven Centre for Innovation Studies (Ecis), … - 2013

We present a systematic review of seven threshold models of technological transitions from physics, biology, economics …

Persistent link: https://www.econbiz.de/10010836549

Boundedness and nonlinearities in public debt dynamics: A TAR assessment

Gnegne, Yacouba; Jawadi, Fredj - In: Economic Modelling 34 (2013) C, pp. 154-160

countries: the USA and the UK. To do this, we apply nonlinearity tests and threshold models. While the first tests enable us to … check for further changes in the data, threshold models are required to assess the switching-regime hypothesis and to …

Persistent link: https://www.econbiz.de/10010709349

Are Southeast Asian real exchange rates mean reverting?

Bec, Frédérique; Zeng, Songlin - In: Journal of International Financial Markets, … 23 (2013) C, pp. 265-282

Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well described by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions....

Persistent link: https://www.econbiz.de/10010603087