Ergodicity and invertibility of threshold moving-average models

By S. Ling, Howell Tong, Dong Li. 2007

47 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/c2ac27e26ca05c6743f7b23972e4cee90f762a76

How researchers see this paper

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In Finance

1. David F. Hendry
2. David E. Rapach
3. Michael P. Clements
4. Jennifer L. Castle
5. Feng Li
6. Xiaoqian Wang
7. Yanfei Kang
8. Allan G. Timmermann

In Mathematical Physics

1. Michael P. Clements

Citations in the corpus

• Forecasting: theory and practice (2020, methodology): “The TAR model has also been extended to account for different specifications of the conditional mean function leading to the development of the threshold moving average (TMA: see, for example, Tong, 1978; De Gooijer, 1998; Ling et al., 2007) and the threshold autoregressive moving average (TARMA: se”