The results of the previous chapter demonstrate that the serial dependencies within Taiwanese stock returns that are reflected in the significant autocorrelation and nonlinearity test results of Chapter Four are not constant; rather, they shift in direction and magnitude over time, with a number of brief episodes of very strong dependencies accounting for much of the magnitude of the full sampl...

Article history: Received 2 December 2013 Received in revised form 27 August 2014 Accepted 7 September 2014 Available online 18 September 2014

Change point detection in time series has attracted substantial interest, but most of the existing results have been focused on detecting change points domain. This paper considers situation where nonlinear potential state We apply a density-weighted anti-symmetric kernel function to domain and therefore propose nonparametric procedure test existence points. When is affirmative, we further intr...

This paper focuses on estimating the Self-Exciting Threshold Autoregressive (SETAR) type time-series model under right-censored data. As is known, SETAR used when underlying function of relation-ship between itself ( Y t ), and its p delays $$({Y_{t - j}})_{j = 1}^p$$ violates lin-earity assumption this formed by multiple behaviors that called regime. addresses dependent problem which has a ser...