Empirical applications of threshold autoregressive models

被引：0
|
作者：
Kuchynka, Alexandr
机构：
来源：
PROCEEDINGS OF THE 24TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2006 | 2006年
关键词：
threshold autoregressive models; nonlinear cointegration; cost of carry model; law of one price;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we show how nonlinear models of the threshold type which are able to capture state-dependent behaviour can be successfully applied to several economic phenomena, even those considered challenging for a long time. Special attention is devoted to modelling the relation between identical or similar goods traded in parallel markets or different locations, including relationship between stock-index futures price and spot price (based on the cost-of-carry model).
引用
收藏
页码：317 / 322
页数：6
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