Similar Search Results

Adaptive varying-coefficient linear models for stochastic processes : asymptotic theory

Lu, Zu-di (contributor); Tjøstheim, Dag (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003165036

Poisson autoregression

Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - 2009

Persistent link: https://www.econbiz.de/10003849524

Poisson autoregression

Fokianos, Konstantinos (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003788916

Asymmetric dependence patterns in financial returns : an empirical investigation using local Gaussian correlation

Støve, Bård; Tjostheim, Dag - In: Essays in nonlinear time series econometrics, (pp. 307-329). 2014

Persistent link: https://www.econbiz.de/10010385834

Estimation threshold autoregressive models with nonstationarity

Gao, Jiti; Tjøstheim, Dag; Yin, Jiying - 2009

Persistent link: https://www.econbiz.de/10003988773

Poisson autoregression

Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1430-1440

Persistent link: https://www.econbiz.de/10003992981

Recognizing and visualizing copulas : an approach using local Gaussian approximation

Berentsen, Geir Drage; Støve, Bård; Tjostheim, Dag; … - In: Insurance 57 (2014), pp. 90-103

Persistent link: https://www.econbiz.de/10010402717

Local Gaussian correlation : a new measure of dependence

Tjostheim, Dag; Hufthammer, Karl Ove - In: Journal of econometrics 172 (2013) 1, pp. 33-48

Persistent link: https://www.econbiz.de/10009702320

Estimation in threshold autoregressive models with a stationary and a unit root regime

Gao, Jiti; Tjostheim, Dag; Yin, Jiying - In: Journal of econometrics 172 (2013) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10009702338

Estimation in threshold autoregressive models with a stationary and a unit root regime

Gao, Jiti; Tjostheim, Dag; Yin, Jiying - 2011

This paper treats estimation in a class of new nonlinear threshold autoregressive models with both a stationary and a unit root regime. Existing literature on nonstationary threshold models have basically focused on models where the nonstationarity can be removed by differencing and/or where the...

Persistent link: https://www.econbiz.de/10009406276