Multivariate Threshold Methods
نویسنده
چکیده
منابع مشابه
On a Threshold Multivariate GARCH Model
This paper proposes a threshold multivariate GARCH model (Threshold MGARCH) which integrates threshold nonlinearity, mean and volatility asymmetries and time-varying correlation in financial markets. The main feature of this model is that the mean, volatility and time-varying correlation can be governed by different threshold variables with different number of regimes. Estimation is performed u...
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During the process of economic development, different economic policies are adopted in accordance with particular circumstances. Therefore, conventional methods of time-series analysis may give misleading results if the problems associated with regime switches are not considered. The relationship between export growth and output growth is explored using a multivariate threshold model with regim...
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