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Quantile self-exciting threshold autoregressive time series models

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  • Yuzhi Cai
  • Julian Stander

Abstract

In this paper we present a Bayesian approach to quantile self-exciting threshold autoregressive time series models. The simulation work shows that the method can deal very well with nonstationary time series with very large, but not necessarily symmetric, variations. The methodology has also been applied to the growth rate of US real GNP data and some interesting results have been obtained. Copyright 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.

Suggested Citation

  • Yuzhi Cai & Julian Stander, 2008. "Quantile self-exciting threshold autoregressive time series models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 186-202, January.
  • Handle: RePEc:bla:jtsera:v:29:y:2008:i:1:p:186-202
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    References listed on IDEAS

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    1. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    2. Yu, Keming & Moyeed, Rana A., 2001. "Bayesian quantile regression," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 437-447, October.
    3. Roger Koenker & Zhijie Xiao, 2004. "Unit Root Quantile Autoregression Inference," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 775-787, January.
    4. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-125, April-Jun.
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    Cited by:

    1. Xiaochun Liu, 2016. "Markov switching quantile autoregression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
    2. Yuzhi Cai, 2016. "A Comparative Study Of Monotone Quantile Regression Methods For Financial Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-16, May.
    3. repec:gam:jrisks:v:6:y:2018:i:3:p:97-:d:169588 is not listed on IDEAS
    4. repec:kap:enreec:v:67:y:2017:i:2:d:10.1007_s10640-015-9987-9 is not listed on IDEAS
    5. Yuzhi Cai & Guodong Li, 2018. "A novel approach to modelling the distribution of financial returns," Working Papers 2018-22, Swansea University, School of Management.

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