Yang, Kai; Zhao, Xiuyue; Dong, Xiaogang; Weiß, Christian H. Self-exciting hysteretic binomial autoregressive processes. (English) Zbl 07887481 Stat. Pap. 65, No. 3, 1197-1231 (2024). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Boussaha, Nadia; Hamdi, Fayçal; Khalfi, Abderaouf On the asymmetry in the volatility of financial time series: a buffered transition approach. (English) Zbl 07739796 J. Stat. Comput. Simulation 93, No. 14, 2471-2493 (2023). MSC: 62-XX 62M10 62L12 × Cite Format Result Cite Review PDF Full Text: DOI
Meitz, Mika; Preve, Daniel; Saikkonen, Pentti A mixture autoregressive model based on Student’s \(t\)-distribution. (English) Zbl 07649581 Commun. Stat., Theory Methods 52, No. 2, 499-515 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Wang, Qingzheng; Yiu, Ka-Fai Cedric; Wong, Heung On a buffered threshold autoregressive stochastic volatility model. (English) Zbl 07888957 Appl. Stoch. Models Bus. Ind. 38, No. 6, 974-996 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Liwen; Zhu, Zhoufan; Feng, Xingdong; He, Yong Shrinkage quantile regression for panel data with multiple structural breaks. (English. French summary) Zbl 07759487 Can. J. Stat. 50, No. 3, 820-851 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Wei, Honglei; Zhang, Hongfan; Jiang, Hui; Huang, Lei On the semi-varying coefficient dynamic panel data model with autocorrelated errors. (English) Zbl 07533772 Comput. Stat. Data Anal. 173, Article ID 107458, 14 p. (2022). MSC: 62M10 62G08 62G20 × Cite Format Result Cite Review PDF Full Text: DOI
Lu, Renjie; Yu, Philip L. H. Buffered vector error-correction models: an application to the U.S. Treasury bond rates. (English) Zbl 07679737 Stud. Nonlinear Dyn. Econom. 25, No. 5, 267-287 (2021). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Tsay, Ruey S. Multivariate hysteretic autoregressive models. (English) Zbl 1524.62453 Stat. Sin. 31, Spec. Iss., 2257-2274 (2021). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Cathy W. S.; Lee, Sangyeol; Khamthong, K. Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts. (English) Zbl 1505.62094 Comput. Stat. 36, No. 1, 261-281 (2021). MSC: 62-08 62P10 62F15 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Schulz, Jörn; Kvaløy, Jan Terje; Engan, Kjersti; Eftestøl, Trygve; Jatosh, Samwel; Kidanto, Hussein; Ersdal, Hege State transition modeling of complex monitored health data. (English) Zbl 1521.62468 J. Appl. Stat. 47, No. 11, 1915-1935 (2020). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI OA License
Liu, Mengya; Li, Qi; Zhu, Fukang Self-excited hysteretic negative binomial autoregression. (English) Zbl 1457.62270 AStA, Adv. Stat. Anal. 104, No. 3, 385-415 (2020). MSC: 62M10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Yaxing; Li, Dong Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models. (English) Zbl 1442.62107 J. Time Ser. Anal. 41, No. 1, 163-172 (2020). Reviewer: Wiesław Dziubdziela (Miedziana Góra) MSC: 62G32 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Lu, Renjie; Yu, Philip L. H. Smooth buffered autoregressive time series models. (English) Zbl 1437.62335 J. Stat. Plann. Inference 206, 196-210 (2020). MSC: 62M10 91B84 62P20 62F12 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Cathy W. S.; Than-Thi, Hong; So, Mike K. P.; Sriboonchitta, Songsak Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations. (English) Zbl 07883158 Appl. Stoch. Models Bus. Ind. 35, No. 6, 1301-1321 (2019). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Cathy W. S.; Than-Thi, Hong; So, Mike K. P. On hysteretic vector autoregressive model with applications. (English) Zbl 07193720 J. Stat. Comput. Simulation 89, No. 2, 191-210 (2019). MSC: 62F15 37M10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Truquet, Lionel Local stationarity and time-inhomogeneous Markov chains. (English) Zbl 1429.62372 Ann. Stat. 47, No. 4, 2023-2050 (2019). Reviewer: Jonas Šiaulys (Vilnius) MSC: 62M05 60J10 62G08 62M10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Li, Yuanbo; Zheng, Xunze; Yau, Chun Yip Generalized threshold latent variable model. (English) Zbl 1427.62100 Electron. J. Stat. 13, No. 1, 2043-2092 (2019). Reviewer: Alessandro Selvitella (Fort Wayne) MSC: 62M10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Zhu, Ke; Li, Wai Keung; Yu, Philip L. H. Buffered autoregressive models with conditional heteroscedasticity: an application to exchange rates. (English) Zbl 07924127 J. Bus. Econ. Stat. 35, No. 4, 528-542 (2017). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Guodong; Zhu, Qianqian; Liu, Zhao; Li, Wai Keung On mixture double autoregressive time series models. (English) Zbl 07924112 J. Bus. Econ. Stat. 35, No. 2, 306-317 (2017). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Truong, Buu-Chau; Chen, Cathy W. S.; Sriboonchitta, Songsak Hysteretic Poisson INGARCH model for integer-valued time series. (English) Zbl 07289490 Stat. Model. 17, No. 6, 401-422 (2017). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Cathy W. S.; Truong, Buu-Chau On double hysteretic heteroskedastic model. (English) Zbl 1510.62355 J. Stat. Comput. Simulation 86, No. 13, 2684-2705 (2016). MSC: 62M10 62F15 62P05 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Truong, Buu-Chau; Chen, Cathy W. S.; So, Mike K. P. Model selection of a switching mechanism for financial time series. (English) Zbl 1411.62309 Appl. Stoch. Models Bus. Ind. 32, No. 6, 836-851 (2016). MSC: 62P05 62M10 91B84 × Cite Format Result Cite Review PDF Full Text: DOI