Artikel
Stationary threshold vector autoregressive models
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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 11 ; Year: 2018 ; Issue: 3 ; Pages: 1-23 ; Basel: MDPI
Klassifikation
Wirtschaft
Thema
asset price bubbles
explosive regimes
multivariate nonlinear time series
steady state distributions
TVAR models
explosive regimes
multivariate nonlinear time series
steady state distributions
TVAR models
Ereignis
Geistige Schöpfung
(wer)
Grynkiv, Galyna
Stentoft, Lars
Stentoft, Lars
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2018
- DOI
-
doi:10.3390/jrfm11030045
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Grynkiv, Galyna
- Stentoft, Lars
- MDPI
Entstanden
- 2018
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