Geodesic
Multivariate smooth transition AR model with aggregation operators and application to exchange rates
Kybernetika, Tome 43 (2007) no. 2, pp. 245-254 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

An overview of multivariate modelling based on logistic and exponential smooth transition models with transition variable generated by aggregation operators and orders of auto and exogenous regression selected by information criterion separately for each regime is given. Model specification procedure is demonstrated on trivariate exchange rates time series. The application results show satisfactory improvement in fit when particular aggregation operators are used. Source code in the form of Mathematica package is provided.
An overview of multivariate modelling based on logistic and exponential smooth transition models with transition variable generated by aggregation operators and orders of auto and exogenous regression selected by information criterion separately for each regime is given. Model specification procedure is demonstrated on trivariate exchange rates time series. The application results show satisfactory improvement in fit when particular aggregation operators are used. Source code in the form of Mathematica package is provided.
Classification : 37M10, 62M10, 62P05
Keywords: multivariate STAR; aggregation operator; information criterion; exchange rates 
@article{KYB_2007_43_2_a10,
     author = {Bacig\'al, Tom\'a\v{s}},
     title = {Multivariate smooth transition {AR} model with aggregation operators and application to exchange rates},
     journal = {Kybernetika},
     pages = {245--254},
     year = {2007},
     volume = {43},
     number = {2},
     mrnumber = {2343399},
     zbl = {1131.62077},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2007_43_2_a10/}
}
TY  - JOUR
AU  - Bacigál, Tomáš
TI  - Multivariate smooth transition AR model with aggregation operators and application to exchange rates
JO  - Kybernetika
PY  - 2007
SP  - 245
EP  - 254
VL  - 43
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/KYB_2007_43_2_a10/
LA  - en
ID  - KYB_2007_43_2_a10
ER  - 
%0 Journal Article
%A Bacigál, Tomáš
%T Multivariate smooth transition AR model with aggregation operators and application to exchange rates
%J Kybernetika
%D 2007
%P 245-254
%V 43
%N 2
%U http://geodesic.mathdoc.fr/item/KYB_2007_43_2_a10/
%G en
%F KYB_2007_43_2_a10
Bacigál, Tomáš. Multivariate smooth transition AR model with aggregation operators and application to exchange rates. Kybernetika, Tome 43 (2007) no. 2, pp. 245-254. http://geodesic.mathdoc.fr/item/KYB_2007_43_2_a10/

[1] Calvo T., Kolesárová A., Komorníková, M., Mesiar R.: Aggregation operators: Properties, classes and construction methods. In: Aggregation Operators (T. Calvo, G. Mayor, and R. Mesiar, eds.), Physica–Verlag, New York 2002, pp. 3–140 | MR | Zbl

[2] Dijk D. van, Teräsvirta, T., Franses P. H.: Smooth Transition Autoregressive Models – A Survey of Recent Developments. Econometric Institute Research Report EI2000-23, 2000

[3] Escribano A., Jordá O.: Improved testing and specification of smooth transition regression models. In: Nonlinear Time Series Analysis of Economic and Financial Data (P. Rothman, ed.), Kluwer, Boston 1999, pp. 289–319 | MR

[4] Granger C. W. J., Teräsvirta T.: Modelling Nonlinear Economic Relationships. Oxford University Press, Oxford 1993 | Zbl

[5] Harvey D. I., Leybourne S. J., Newbold P.: Testing the equality of prediction mean squared errors. Internat. J. Forecasting 13 (1997), 281–291

[6] Luukkonen R., Saikkonen, P., Teräsvirta T.: Testing linearity against smooth transition autoregressive models. Biometrika 75 (1988), 491–499 | MR | Zbl

[7] Tsay R. S.: Testing and modeling multivariate threshold models. J. Amer. Statist. Assoc. 93 (1998), 1188–1202 | MR | Zbl