Integer-Valued Self-Exciting Threshold Autoregressive Processes

By Magda Monteiro, Manuel G. Scotto, Isabel Pereira. 2012

78 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3781741f775720bc476ea161a7a8690253f54371

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

1. Christian H. Weiβ
2. P. Pollett

In Finance

1. P. Pollett
2. Christian H. Weiβ
3. Konstantinos Fokianos
4. Sangyeol Lee
5. W. Barreto‐Souza
6. Miroslav M. Ristic
7. Hassan Salah Hassan Bakouch
8. Fukang Zhu

In Statistics and Probability

1. P. Pollett
2. Christian H. Weiβ
3. W. Barreto‐Souza
4. Murat Caner Testik
5. H. Kim
6. Darcy Steeg Morris
7. Kimberly F. Sellers

Citations in the corpus

• BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY‐DEPENDENT THINNING (2014, methodology): “Although the binomial INARCH(1) model describes this behaviour reasonably well (in terms of the above criteria), an even better fit might be obtained, for example, with a self-exciting threshold version of the binomial AR(1) model, in analogy to Monteiro et al. (2012). The development of such a mode”