Non‐linear Time Series Models in Empirical Finance

By G. Janacek. 2003

858 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/54251bc52f5b891070c5fb8393572cb3b3e256ac

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Citations in the corpus

Forecast Combination and Encompassing (2009, background): “as a test of the joint signi�cance of all the parameters related to f2t, i.e., �2 = 21 = ::: = 2p = 0: see White (1989), Kuan and White (1994) and the discussion by Franses and van Dijk (2000, pp. 230-2) for details.”
A multi‐level panel STAR model for US manufacturing sectors (2005, methodology): “The basic smooth transition autoregressive [STAR] model, as discussed extensively in Granger and Teräsvirta (1993), Teräsvirta (1994), Franses and van Dijk (2000), and van Dijk, Teräsvirta and Franses (2002), embraces two regimes, where the prevailing regime at time t is determined by the value of…”
An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns (2005, background): “Turning next to the search across different numbers of states, k, table 6 suggests that, although the model has now been extended by an autoregressive term, a four-state model continues to provide the best trade-off between fit and parsimony.(10) Table 7 shows the parameter estimates for the preferr”
Threshold autoregression in economics (2011, methodology): “Extensive reviews on the STAR model in economics can be found in the monographs by Granger and Terasvirta [38] and Franses and van Dijk [31], and the review paper by van Dijk, Terasvirta and Franses [23].”
Testing the Suitability of Wavelet Preprocessing for TSK Fuzzy Models (2006, background): “Also, periods of high volatility that result in variance changes in economic and financial time series occur in localized regions or ‘clusters’ [ 24 ].”
Functional Coefficient Regression Models for Non‐linear Time Series: A Polynomial Spline Approach (2004, background): “Methods for automatic selection of the threshold variable and significant variables (or lags) are discussed.”
VOLATILITY AND CORRELATION FORECASTING (2006, background): “…become part of the standard toolbox discussed in econometrics and empirical oriented finance textbooks; see, e.g., Hamilton (1994), Mills (1993), Franses and van Dijk (2000), Gouriéroux and Jasiak (2001), Alexander (2001), Brooks (2002), Chan (2002), Tsay (2002), Christoffersen (2003), Enders…”
Multivariate GARCH Models: A Survey (2003, background): “MGARCH models are partly covered in Franses and van Dijk (2000) , Gourieroux (1997) and most of the surveys on ARCH models cited above, but none of them presents, as this one, a comprehensive and up-to-date survey of the field, including the most recent findings.”
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates (2006, methodology): “zero, , is obtained using the method of Newey and West (1987), where f̂(0) the optimal truncation lag has been selected using the Andrews (1991) AR(1) rule.”