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Nonlinear stochastic inflation modelling using SEASETARs

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  • De Gooijer, Jan G.
  • Vidiella-i-Anguera, Antoni

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  • De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2003. "Nonlinear stochastic inflation modelling using SEASETARs," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 3-18, February.
    • Handle: RePEc:eee:insuma:v:32:y:2003:i:1:p:3-18
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    References listed on IDEAS

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    1. Franses, Philip Hans, 1991. "Seasonality, non-stationarity and the forecasting of monthly time series," International Journal of Forecasting, Elsevier, vol. 7(2), pages 199-208, August.
    2. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    3. McQuarrie, Allan & Shumway, Robert & Tsai, Chih-Ling, 1997. "The model selection criterion AICu," Statistics & Probability Letters, Elsevier, vol. 34(3), pages 285-292, June.
    4. Wilkie, A.D., 1995. "More on a Stochastic Asset Model for Actuarial Use," British Actuarial Journal, Cambridge University Press, vol. 1(5), pages 777-964, December.
    5. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
    6. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
    7. Whitten, S.P. & Thomas, R.G., 1999. "A Non-Linear Stochastic Asset Model for Actuarial Use," British Actuarial Journal, Cambridge University Press, vol. 5(5), pages 919-953, December.
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    Cited by:

    1. Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum, 2015. "Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 217-230.
    2. Chan, W.S. & Cheung, S.H., 2005. "A bivariate threshold time series model for analyzing Australian interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 429-437.

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