Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models-Reference-Cited by-同舟云学术

Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models

Published:2019-07-09 Issue:1 Volume:41 Page:163-172
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Yang Yaxing¹,Li Dong²

Affiliation:

1. School of EconomicsWang Yanan Institute for Studies in Economics, MOE Key Lab of Econometrics and Fujian Key Lab of Statistics, Xiamen UniversityFujian Province China

2. Center for Statistical Science and Department of Industrial EngineeringTsinghua UniversityBeijing 100084 China

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12492

Reference46 articles.

1. Improving VWAP strategies: A dynamic volume approach

2. A New Class of Bivariate Threshold Cointegration Models

3. A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL

4. Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model

5. On conditionally heteroscedastic AR models with thresholds;Chan KS;Statistica Sinica,2014

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