We propose a new time series model where the threshold is specified as an empirical quantile of recent observations of a threshold variable. The resulting conditional threshold traces the fluctuation of the threshold variable, which can enhance the fit and interpretation of the model. In the...

This paper presents a bootstrapped p-value white noise test based on the maximum correlation, for a time series that may be weakly dependent under the null hypothesis. The time series may be prefiltered residuals. The test statistic is a normalized weighted maximum sample correlation...

This paper investigates the dynamic interdependence between the stock returns of regionally disjoint Japanese real estate investment trusts (REITs), where the property type and a market return are controlled. We take a multivariate time series approach with the error term being allowed to have...

We propose moving average threshold heterogeneous autoregressive (MAT-HAR) models as a novel combination of heterogeneous autoregression (HAR) and threshold autoregression (TAR). The MAT-HAR has multiple groups of lags of a target series, and a threshold term can appear in each group. The...

The existing vector heterogeneous autoregression (VHAR) does not allow for threshold effects. The threshold autoregressions are well established in the literature, but the presence of an unknown threshold complicates inference. To resolve this dilemma, we propose the vector moving average...