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Nonlinear Time Series Analysis

Author

Listed:
  • Bruce Mizrach

    () (Rutgers University)

Abstract

This entry for the New Palgrave covers developments in nonlinear time series analysis over the last 25 years.

Suggested Citation

  • Bruce Mizrach, 2006. "Nonlinear Time Series Analysis," Departmental Working Papers 200604, Rutgers University, Department of Economics.
  • Handle: RePEc:rut:rutres:200604
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    File URL: http://www.sas.rutgers.edu/virtual/snde/wp/2006-04.pdf
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    Citations

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    Cited by:

    1. Hiroshi Ishijima & Masaki Uchida, 2011. "The Regime Switching Portfolios," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 167-189, May.
    2. Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.

    More about this item

    Keywords

    nonlinear; time series; analysis;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

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