128 research outputs found
Higher order moments of bilinear time series processes with symmetrically distributed errors
Statistical Methods
The Marginal Distribution Function of Threshold-type Processes with Central Symmetric Innovations
This paper addresses the problem of finding exact and explicit (closed-form) expressions for the stationary marginal distribution of threshold-type time series processes, their associated moments, autocovariance and autocorrelation coefficients. The innovation process of the models under consideration follow three central symmetric distribution functions: Gaussian, Laplace, and Cauchy. Theoretical results for both two- and three regime threshold-type models are derived. Various examples give rise to a deeper understanding of certain features of the stationary process structure. Exact results for the stationary density, central moments, and autocorrelations of threshold-type processes are compared with approximate density and moment results obtained through an existing numerical method
A multi-step kernel-based regression estimator that adapts to error distributions of unknown form
Information flows around the globe: predicting opening gaps from overnight foreign stock price patterns
Information flows around the globe: predicting opening gaps from overnight foreign stock price patterns
Information flows around the globe: predicting opening gaps from overnight foreign stock price patterns
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