Search Results - subject:"explosive regimes"

Stationary threshold vector autoregressive models

Grynkiv, Galyna; Stentoft, Lars - In: Journal of Risk and Financial Management 11 (2018) 3, pp. 1-23

This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...

Persistent link: https://www.econbiz.de/10012611025

Stationary threshold vector autoregressive models

Grynkiv, Galyna; Stentoft, Lars - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10011895647

A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model

Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric reviews 35 (2016) 5/7, pp. 1221-1250

Persistent link: https://www.econbiz.de/10011591186

A (semi-)parametric functional coefficient autoregressive conditional duration model

Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - 2006

that the sufficient conditions for strict stationarity do not exclude explosive regimes, we address model identifiability …

Persistent link: https://www.econbiz.de/10011807359

A (semi-)parametric functional coefficient autoregressive conditional duration model

Fernandes, Marcelo; Medeiros, Marcelo Cunha; Veiga, Alvaro - Departamento de Economia, Pontifícia Universidade … - 2006

that the sufficient conditions for strict stationarity do not exclude explosive regimes, we address model identifiability …

Persistent link: https://www.econbiz.de/10005534088