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International Economic Review, ISSN 0020-6598, 5/2016, Volume 57, Issue 2, pp. 635 - 663
This article develops a novel test for a unit root in general transitional autoregressive models, which is based on the infimum of t-ratios for the coefficient... 
Brownian motion | Topological compactness | Economic models | Null hypothesis | Autoregressive models | Sample size | Economic transitions | Critical values | Asymptotic theory | Root test
Journal Article
Economic Modelling, ISSN 0264-9993, 01/2017, Volume 60, pp. 391 - 401
This paper applies the threshold quantile autoregressive model to study stock return autocorrelations and predictability in the Chinese stock market from 2005... 
Threshold quantile autoregressive model | Chinese stock market | Stock return autocorrelations | Predictability | PRICES | TRADING VOLUME | RISK | CONDITIONAL SKEWNESS | OVERREACTION | OVERCONFIDENCE | SEQUENTIAL INFORMATION ARRIVAL | INVESTORS | EQUILIBRIUM-MODEL | ECONOMICS | VOLATILITY | Stocks | Stock markets | Models
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2011, Volume 160, Issue 2, pp. 311 - 325
This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex-ante... 
Smooth transition | Stability | Nonlinear autoregressive model | Threshold | ERGODICITY | TESTS | OUTPUT | NONLINEARITY | CAUSALITY | EQUATIONS | JOINT SPECTRAL-RADIUS | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | VECTOR TIME-SERIES | Nonlinear autoregressive model Smooth transition Stability Threshold
Journal Article
International Journal of Hydrogen Energy, ISSN 0360-3199, 03/2017, Volume 42, Issue 13, pp. 8670 - 8679
In this paper, we focus on the problem of the energy transition in Tunisia were we suggest to study and modeling the nonlinear dynamic of the endogenous... 
Smooth transition autoregressive model | Endogenous cycle | Nonlinearity | Renewable energy in Tunisia | ELECTROCHEMISTRY | ENERGY & FUELS | SUSTAINABLE DEVELOPMENT | CHEMISTRY, PHYSICAL | Models | Alternative energy sources | Analysis | Revolutions | Sustainable development
Journal Article
Journal of Physics A: Mathematical and Theoretical, ISSN 1751-8113, 2014, Volume 47, Issue 25, pp. 252001 - 9
We address the problem of defining early-warning indicators of critical transitions. To this purpose, we fit the relevant time series through a class of linear... 
early warnings | phase transitions | ARMA processes | PHYSICS, MULTIDISCIPLINARY | SYSTEMS | PHYSICS, MATHEMATICAL | CRISES | FLOW | Autocorrelation functions | Rotating generators | Time series | Decay | Mathematical models | Two dimensional | Complex systems | Indicators
Journal Article
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 03/2013, Volume 42, Issue 6, pp. 1087 - 1104
This article introduces a parsimonious structure for mixture of autoregressive models, where the weighting coefficients are determined through latent random... 
Primary 62M10 | Mixture autoregressive Model | Stability | 60J10. Secondary 60G25 | Dynamic programming | Hidden Markov Model | Forecasting | 60J10 | TRANSITION DISTRIBUTION | Secondary 60G25 | TIME-SERIES | STATISTICS & PROBABILITY | CHAINS | Markov analysis | Random variables | Effectiveness | Computer simulation | Markov models | Mathematical models | Statistics | Constraining | Convergence
Journal Article
Journal of Econometrics, ISSN 0304-4076, 04/2020, Volume 215, Issue 2, pp. 591 - 606
Journal Article
Econometric Reviews, ISSN 0747-4938, 07/2020, Volume 39, Issue 6, pp. 559 - 578
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 06/2014, Volume 43, Issue 1, pp. 160 - 178
We use Markov chain methods to develop a flexible class of discrete stochastic autoregressive volatility (DSARV) models. Our approach to formulating the models... 
Markov chain | Stochastic volatility | Time-varying transition probabilities | Discrete autoregressive model | Realized volatility | RETURN-VOLATILITY | BUSINESS-CYCLE | INFORMATION | MARKETS | OPTIONS | DISTRIBUTIONS | BUSINESS, FINANCE | MODELS | REGIME | TIME-SERIES | DYNAMICS | ECONOMICS | Markov processes | Analysis
Journal Article