We use recent developments on threshold autoregressive models that allow deriving endogenously threshold effects to analyse the evolution of the US stock price–dividend relation over the period 1871 to 2004. More specifically, a mean-reverting dynamic behaviour of the stock price–dividend ratio should be expected once such threshold is reached. Our empirical results showed that significant adju...

We develop and estimate a model of the dynamic behavior of aggregate corporate dividends as a function of the change in permanent earnings of firms. Although structured along the lines of the Lintner-Brittain-FamaBabiak models of individual-firm dividend behavior, the model uses changes in stock prices instead of accounting earnings to measure permanent earnings changes. The performance of the ...

1.1. Point Processses and Intensities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.1.1. Stochastic Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1.2. The Autoregressive Conditional Duration Model . . . . . . . . . . . . . . . . . . . . . . . 2 1.3. The Autoregressive Conditional Intensity Model . . . . . . . . . . . . . . . ...

A temperature prediction method of Insulated Gate Bipolar Transistor (IGBT) module based on autoregressive moving average model is proposed. Historical and current temperature datum of IGBT module is indispensable to the ARMA method, temperature time series is obtained by uniform sampling, and autoregressive (AR) model is constructed. Temperature time series prediction of IGBT module is realize...

the classical method of process capability analysis necessarily assumes that collected data are independent; nonetheless, some processes such as biological and chemical processes are autocorrelated and violate the independency assumption. many processes exhibit a certain degree of correlation and can be treated by autoregressive models among which the autoregressive model of order one (ar (1)) ...

This paper analyses identification for multivariate unobserved components models in which the innovations to trend and cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model. Identification is shown for lag lengths larger than one in case of a diagonal vector autoregressive cycle. We also discuss UC models with common feature...

Article history: In this paper international c Accepted 4 September 2008