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Found 29 Documents (Results 1–29)

Thresholds and smooth transitions in vector autoregressive models. (English) Zbl 1443.62153

Fomby, Thomas B. (ed.) et al., VAR models in macroeconomics: new developments and applications. Essays in honor of Christopher A. Sims. Mainly selected papers based on the presentations at the 12th advances in econometrics conference, Dallas, TX, USA, November 2–4, 2012. Bingley: Emerald. Adv. Econom. 32, 273-326 (2013).
MSC:  62H12 62J12 62P20
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Testing uncovered interest rate parity and term structure using multivariate threshold cointegration. (English) Zbl 1142.91534

Kontoghiorghes, Erricos J. (ed.) et al., Computational methods in financial engineering. Essays in honour of Manfred Gilli. Berlin: Springer (ISBN 978-3-540-77957-5/hbk). 191-210 (2008).
MSC:  91B28 91B82
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Recent developments in nonlinear cointegration with applications to macroeconomics and finance. (English) Zbl 1007.62098

Dordrecht: Kluwer Academic Publishers. xxviii, 299 p. (2002).
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