SELF EXCITING THRESHOLD INTEREST RATES MODELS

Self-exciting point process models of civilian deaths in Iraq

Our goal in this article is to characterize temporal patterns of violent civilian deaths in Iraq. These patterns are expected to evolve on time-scales ranging from years to minutes as a result of changes in the security environment on equally varied time-scales. To assess the importance of multiple time-scales in evolving security threats, we develop a self-exciting point pro cess model similar...

Forecasting interest rates and inflation from bivariate time-series models: Can threshold cointegration models beat linear structures?

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal shortand long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean reversion is active only conditional on ce...

Threshold estimation of jump-diffusion models and interest rate modeling∗

We introduce nonparametric estimators of the coefficients of a univariate jump-diffusion process when observations are recorded discretely. We allow the drift, diffusion and intensity function to be level dependent. We also show that the estimator of the diffusion coefficient is consistent even if the jump process has infinite activity. Our results rely on the fact that it is possible to disent...

Understanding Interest Rate Volatility through Flexible Threshold Models

Spectra of some self - exciting and mutually exciting point processes

In recent years methods of data analysis for point processes have received some attention, for example, by Cox & Lewis (1966) and Lewis (1964). In particular Bartlett (1963a, b) has introduced methods of analysis based on the point spectrum. Theoretical models are relatively sparse. In this paper the theoretical properties of a class of processes with particular reference to the point spectrum ...