Search Results - subject:"smooth transition autoregression"

Non-linearities in the dynamics of oil prices

Kisswani, Khalid; M.; Nusair, Salah; A. - Volkswirtschaftliche Fakultät, … - 2012

evidence of non-linearity in all the cases. In most cases, we find significant evidence of exponential smooth transition … autoregression (ESTAR) type non-linearity. Notably, the results for Japan suggest logistic (LSTAR) type non-linearity for the four …

Persistent link: https://www.econbiz.de/10009647235

Forecasting ENSO with a smooth transition autoregressive model

Ubilava, David; Helmers, C Gustav - Volkswirtschaftliche Fakultät, … - 2012

This study examines the benets of nonlinear time series modelling to improve forecast accuracy of the El Nino Southern Oscillation (ENSO) phenomenon. The paper adopts a smooth transition autoregressive (STAR) modelling framework to assess the potentially regime-dependent dynamics of sea surface...

Persistent link: https://www.econbiz.de/10009650693

The ENSO effect and asymmetries in wheat price dynamics

Ubilava, David - In: World development : the multi-disciplinary … 96 (2017), pp. 490-502

Persistent link: https://www.econbiz.de/10011763162

The impact of mechanical refrigeration on market integration : the U.S. egg market, 1890-1911

Craig, Lee A.; Holt, Matthew T. - In: Explorations in economic history : EEH 66 (2017), pp. 85-105

Persistent link: https://www.econbiz.de/10011937960

The ENSO Impact on Predicting World Cocoa Prices

Ubilava, David; Helmers, C. Gustav - 2011

forecasting through the application of a smooth transition autoregression (STAR) modeling framework to monthly data to examine …

Persistent link: https://www.econbiz.de/10009444316

On fractionally integrated logistic smooth transitions in time series

Shittu, Olanrewaju I.; Yaya, OlaOlua S. - In: CBN Journal of Applied Statistics 02 (2011) 1, pp. 1-13

Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these...

Persistent link: https://www.econbiz.de/10011482552

Modeling and Forecasting the Dynamics in Romanian Stock Market Indices Using Threshold Models

Acatrinei, Marius Cristian; Caraiani, Petre - In: Journal for Economic Forecasting (2011) 2, pp. 42-54

We investigate the existence of nonlinear patterns in the dynamics of the main stock index returns in Romania. We use daily closing data of the BET stock index series from 2004 to early 2010. Based on several tests for nonlinearity we reject the null hypothesis of linearity. We use several types...

Persistent link: https://www.econbiz.de/10009151242

The ENSO Impact on Predicting World Cocoa Prices

Ubilava, David; Helmers, Claes Gustav - Agricultural and Applied Economics Association - AAEA - 2011

forecasting through the application of a smooth transition autoregression (STAR) modeling framework to monthly data to examine …

Persistent link: https://www.econbiz.de/10009020955

Statistical evidence on the mean reversion of interest rates

End, Jan-Willem van den - 2011

Persistent link: https://www.econbiz.de/10008903823

On fractionally integrated logistic smooth transitions in time series

Shittu, Olanrewaju I.; Yaya, OlaOlua S. - In: CBN journal of applied statistics 2 (2011) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10011477601