In this paper we investigate the multi-period forecast performance of a number of empirical selfexciting threshold autoregressive (SETAR) models that have been proposed in the literature for modelling exchange rates and GNP, amongst other variables. We take each of the empirical SETAR models in turn as the DGP to ensure that the ‘non-linearity’ characterises the future, and compare the forecast...

In order to implement the cellular manufacturing system in practice, some essential factors should be taken into account. In this paper, a new mathematical model for cellular manufacturing system considering different production factors including alternative process routings and machine reliability with stochastic arrival and service times in a dynamic environment is proposed. Also because of t...

We propose a new class of non-linear diffusion processes for modeling financial markets data. Our nonlinear diffusions are obtained as transformations of affine processes. We show that asset-pricing and estimation is possible and likelihood estimation is straightforward. We estimate a non-linear diffusion model for the VIX index under both the objective measure and the risk-neutral measure wher...

O . T u r k o v s k a Postgraduate student* Research Assistant** E-mail: [email protected] M . G u s t i PhD* Researcher** E-mail: [email protected] P . L a u r i PhD, Researcher** E-mail: [email protected] N . F o r s e l l PhD, Researcher** E-mail: [email protected] P . H a v l í k PhD, Senior Researcher** E-mail: [email protected] M . O b e r s t e i n e r PhD, Program Director** E-mail:...