On continuous-time threshold autoregression
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- J-P.Guironnet, 2006.
"Analyse cliométrique des cycles de croissance de l'éducation en France (1815-2003): vers un modèle à seuil autorégressif,"
Economies et Sociétés (Serie 'Histoire Economique Quantitative'),
Association Française de Cliométrie (AFC), issue 34, pages 193-214, February.
- Jean-Pascal Guironnet, 2005. "Analyse cliométrique des cycles de croissance de l’éducation en France (1815-2003) : Vers un modèle à seuil autorégressif," Working Papers 05-11, Association Française de Cliométrie (AFC).
- Jean-Pascal Guironnet, 2005. "Analyse cliométrique des cycles de croissance de l’éducation en France (1815-2003) : Vers un modèle à seuil autorégressif," Working Papers 05-05, LAMETA, Universtiy of Montpellier, revised Jan 2005.
- P. Brockwell & O. Stramer, 1995. "On the approximation of continuous time threshold ARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(1), pages 1-20, January.
- Jan G. De Gooijer & Rob J. Hyndman, 2005.
"25 Years of IIF Time Series Forecasting: A Selective Review,"
Monash Econometrics and Business Statistics Working Papers
12/05, Monash University, Department of Econometrics and Business Statistics.
- Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
- De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
- Su, Fei & Chan, Kung-Sik, 2015. "Quasi-likelihood estimation of a threshold diffusion process," Journal of Econometrics, Elsevier, vol. 189(2), pages 473-484.
- Chan, K. S. & Stramer, O., 1998. "Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 33-44, August.
- repec:eee:ecomod:v:255:y:2013:i:c:p:29-37 is not listed on IDEAS
- Siu, Tak Kuen, 2016. "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 168-193.
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