Multivariate smooth transition AR model with aggregation operators and application to exchange rates
Kybernetika (2007)
- Volume: 43, Issue: 2, page 245-254
- ISSN: 0023-5954
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topBacigál, Tomáš. "Multivariate smooth transition AR model with aggregation operators and application to exchange rates." Kybernetika 43.2 (2007): 245-254. <http://eudml.org/doc/33855>.
@article{Bacigál2007,
abstract = {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.},
author = {Bacigál, Tomáš},
journal = {Kybernetika},
keywords = {multivariate STAR; aggregation operator; information criterion; exchange rates; testing for linearity; diagnostics on residuals; multivariate STAR; aggregation operator},
language = {eng},
number = {2},
pages = {245-254},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Multivariate smooth transition AR model with aggregation operators and application to exchange rates},
url = {http://eudml.org/doc/33855},
volume = {43},
year = {2007},
}
TY - JOUR
AU - Bacigál, Tomáš
TI - Multivariate smooth transition AR model with aggregation operators and application to exchange rates
JO - Kybernetika
PY - 2007
PB - Institute of Information Theory and Automation AS CR
VL - 43
IS - 2
SP - 245
EP - 254
AB - 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.
LA - eng
KW - multivariate STAR; aggregation operator; information criterion; exchange rates; testing for linearity; diagnostics on residuals; multivariate STAR; aggregation operator
UR - http://eudml.org/doc/33855
ER -
References
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