نتایج جستجو برای: logistic smooth transition autoregressive
تعداد نتایج: 490919 فیلتر نتایج به سال:
The Phillips curve usually has been estimated in a linear framework which implies a stable constant relationship between inflation and unemployment. Some of the studies claim that the slope of the Phillips curve is a function of macroeconomic conditions and also the relationship is asymmetric. This article deals with a smooth transition regression model for relationship between inflation and un...
Abstract Smooth-transition autoregressive (STAR) models, competitors of Markov-switching are limited by an assumed time-invariant threshold level. We augment the STAR model with a time-varying that can be interpreted as ‘tipping level’ where mean and dynamics VAR shift. Thus, latent level serves demarcation between regimes. show how to estimate in Bayesian framework using Metropolis step unscen...
We apply a logistic smooth transition market model (LSTM) to a sample of returns on Australian industry portfolios to investigate whether bull and bear market betas differ. Unlike other studies, our LSTM model allows for smooth transition between bull and bear states and allows the data to determine the threshold value. The estimated value of the smoothness parameter was very large for all indu...
Adaptive exponential smoothing methods allow smoothing parameters to change over time, in order to adapt to changes in the characteristics of the time series. This paper presents a new adaptive method for predicting the volatility in financial returns. It enables the smoothing parameter to vary as a logistic function of user-specified variables. The approach is analogous to that used to model t...
In this paper we present, propose and examine additional membership functions for the Smoothing Transition Autoregressive (STAR) models. More specifically, we present the tangent hyperbolic, Gaussian and Generalized bell functions. Because Smoothing Transition Autoregressive (STAR) models follow fuzzy logic approach, more fuzzy membership functions should be tested. Furthermore, fuzzy rules can...
We apply a logistic smooth transition market model (LSTM) to a sample of returns on Australian industry portfolios to investigate whether bull and bear market betas differ. Unlike other studies, our LSTM model allows for smooth transition between bull and bear states and allows the data to determine the threshold value. The estimated value of the smoothness parameter was very large for all indu...
This article explores nonlinearities in the response of speculators’ trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition regression models, we find a similar structure of nonlinearities with regard to the number of different regime...
Forecasting the High-Frequency Exchange Rate Volatility with Smooth Transition Exponential Smoothing
Smooth Transition Exponential Smoothing (STES) is a popular exponential smoothing method for volatility forecasting; whereby the success of STES model lies in choice transition variable. In this paper, three realized variance (RV), daily, weekly and monthly RV were used as variables methods to evaluate performance intraday data. While daily squared return noisy series, residual employed proxy a...
In this paper, a new class of Log-Logistic distribution using MarshallOlkin transformation is introduced. Its characterization and statistical properties are obtained. The proposed model extends the Log-Logistic distribution and is more flexible. Using the proposed model, we construct an autoregressive model and investigate its minification structure. Mathematics Subject Classification: 60E05, ...
The article contributes to the existing literature by examining nonlinear effect of foreign direct investment (FDI) on development Arab Maghreb Union (AMU) countries during 1980-2019. These multiply their FDI attraction policies in order enrich national externalities offered local businesses and benefit from some positive effects economy terms growth, technology, know-how, etc. Using panel smoo...
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