Academic Journal
Stationary threshold vector autoregressive models
| العنوان: | Stationary threshold vector autoregressive models |
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| المؤلفون: | Grynkiv, Galyna, Stentoft, Lars |
| بيانات النشر: | MDPI |
| سنة النشر: | 2018 |
| المجموعة: | EconStor (German National Library of Economics, ZBW) |
| مصطلحات موضوعية: | ddc:330, C1, C3, C5, G1, asset price bubbles, explosive regimes, multivariate nonlinear time series, steady state distributions, TVAR models |
| الوصف: | This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A situation related to so-called 'locally explosive models', where the stationary distribution exists though the model is explosive in one regime, is analysed. Simulations show that locally explosive models can generate some of the key properties of financial and economic data. They also show that assessing the stationarity of threshold models based on simulations might well lead to wrong conclusions. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| تدمد: | 1911-8074 |
| Relation: | gbv-ppn:1030120439; Journal: Journal of Risk and Financial Management; Volume: 11; Year: 2018; Issue: 3; Pages: 1-23; Basel: MDPI; http://hdl.handle.net/10419/238884 |
| DOI: | 10.3390/jrfm11030045 |
| الاتاحة: | http://hdl.handle.net/10419/238884 https://doi.org/10.3390/jrfm11030045 |
| Rights: | https://creativecommons.org/licenses/by/4.0/ |
| رقم الانضمام: | edsbas.78A05D8B |
| قاعدة البيانات: | BASE |
Full Text Finder | تدمد: | 19118074 |
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| DOI: | 10.3390/jrfm11030045 |