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Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem

Harris, David; Kew, Hsein; Taylor, Robert - 2020

Persistent link: https://www.econbiz.de/10012606901

Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem

Harris, David; Kew, Hsein; Taylor, Robert - In: Journal of econometrics 219 (2020) 2, pp. 354-388

Persistent link: https://www.econbiz.de/10012483394

Mixed-frequency predictive regressions with parameter learning

Leippold, Markus; Yang, Hanlin - In: Journal of forecasting 42 (2023) 8, pp. 1955-1972

Persistent link: https://www.econbiz.de/10014432824

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214