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Threshold Random Walk Structures in Finance

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Francesco Giordano

    (University of Salerno, Di.S.E.S.)

  • Marcella Niglio

    (University of Salerno, Di.S.E.S.)

  • Cosimo Damiano Vitale

    (University of Salerno, Di.S.E.S.)

Abstract

In this paper we propose a new model that generalizes, in nonlinear domain, the random walk process: we call this model threshold random walk. From the empirical point of view it is able to model the asymmetric behaviour of financial data that is neglected from the random walk structure. We further provide a statistical tool for testing unit root versus a stationary threshold autoregressive model.

Suggested Citation

  • Francesco Giordano & Marcella Niglio & Cosimo Damiano Vitale, 2014. "Threshold Random Walk Structures in Finance," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 109-112, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-05014-0_25
    DOI: 10.1007/978-3-319-05014-0_25
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