The Canadian Journal of Statistics / La Revue Canadienne de Statistique Threshold autoregressive models are widely used in time-series applications. When building or using such a model, it is ...
We apply a variety of volatility models in setting the initial margin requirements for central clearing counterparties (CCPs) and show how to mitigate procyclicality using a three-regime threshold ...
This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...
Two types of state-switching models for U.S. real output have been proposed: models that switch randomly between states and models that switch states deterministically, as in the threshold ...
Thomas J Catalano is a CFP and Registered Investment Adviser with the state of South Carolina, where he launched his own financial advisory firm in 2018. Thomas' experience gives him expertise in a ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
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