scholarly journals A bivariate threshold time series model for analyzing Australian interest rates

2005 ◽  
Vol 68 (5-6) ◽  
pp. 429-437 ◽  
Author(s):  
W.S. Chan ◽  
S.H. Cheung
Keyword(s):  
Time Series ◽  
Interest Rates ◽  
Time Series Model ◽  
Threshold Time ◽  
Threshold Time Series

scholarly journals A Time Series Model of Interest Rates With the Effective Lower Bound

2016 ◽  
Vol 2016 (33) ◽  
pp. 1-46 ◽  
Author(s):  
Benjamin K. Johannsen ◽  
◽  
Elmar Mertens
Keyword(s):  
Time Series ◽  
Lower Bound ◽  
Interest Rates ◽  
Time Series Model

GA-BASED TIME SERIES MODELS WITH THRESHOLD IN TWO DOMAINS

2009 ◽  
Vol 18 (04) ◽  
pp. 801-823
Author(s):  
MING SU ◽  
GARY G. YEN ◽  
R. R. RHINEHART
Keyword(s):  
Time Series ◽  
Arrival Time ◽  
Financial Time Series ◽  
Wave Pattern ◽  
Sine Wave ◽  
Proposed Model ◽  
Threshold Time ◽  
Partition Space ◽  
Threshold Time Series ◽  
Model Structures

A new threshold time series model is proposed whose submodels are extended from AR to SARIMA and whose domains having thresholds are extended to two. By these two extensions, the newly proposed models offer more flexibility to piecewisely approximate nonstationary time series by a finite number of local stationary models. A genetic algorithm is applied to simultaneously search for appropriate model structures, estimate the optimal model coefficients, as well as partition space by finding appropriate thresholds. The resulting model is applied to a synthetic multi-frequency sine wave and two financial time series with improved modeling quality. The proposed model is also applied to seismogram analysis in order to recognize earthquake wave pattern related to locate arrival time of different waves.

Time-series model forecasts and structural breaks: evidence from Spanish pre-EMU interest rates

2008 ◽  
Vol 40 (13) ◽  
pp. 1707-1721 ◽  
Author(s):  
José Luis Fernández-Serrano ◽  
M. Dolores Robles-Fernández
Keyword(s):  
Time Series ◽  
Interest Rates ◽  
Structural Breaks ◽  
Time Series Model
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