JSTOR Daily

A Nonparametric Test of Conditional Autoregressive Heteroscedasticity for Threshold Autoregressive Models

The Canadian Journal of Statistics / La Revue Canadienne de Statistique Threshold autoregressive models are widely used in time-series applications. When building or using such a model, it is ...
JSTOR Daily

Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output

Two types of state-switching models for U.S. real output have been proposed: models that switch randomly between states and models that switch states deterministically, as in the threshold ...
Investopedia

What Are Autoregressive Models? How They Work and Example

Thomas J Catalano is a CFP and Registered Investment Adviser with the state of South Carolina, where he launched his own financial advisory firm in 2018. Thomas' experience gives him expertise in a ...
RIETI独立行政法人経済産業研究所

Asymmetric Exchange Rate Pass-Through in Japanese Exports: Application of the threshold vector autoregressive model

This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...
Risk

Procyclicality mitigation for initial margin models with asymmetric volatility

We apply a variety of volatility models in setting the initial margin requirements for central clearing counterparties (CCPs) and show how to mitigate procyclicality using a three-regime threshold ...
Investopedia

Autoregressive Conditional Heteroskedasticity (ARCH) Explained

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...