Contemporaneous threshold autoregressive models

Contemporaneous threshold autoregressive models

by Michael Dueker

Part of Working paper ;

Join Readfeed freeFind clubs reading this
Rate this book:

Browse books you can read free on Readfeed

No club is reading this yet — be the first to start one

Start a club free
About
"This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Ters̃virta (1998). Because it uses a forward-looking approach to weight the regimes, in contrast to the typical lagged threshold model, the C-STAR model is well-suited to forward-looking rational expectations applications, such as bond pricing. We present an application to the pricing of bonds under the Expectations Hypothesis with a C-STAR driving process for the short-term rate"--Federal Reserve Bank of St. Louis web site.

Discuss Contemporaneous threshold autoregressive models with other readers

Join or start a book club for Contemporaneous threshold autoregressive models on Readfeed. Live chat, shared reading progress, and AI discussion questions — free to get started.

Sign up freeBrowse book clubs

Frequently asked questions

How do I join a book club for Contemporaneous threshold autoregressive models?

Sign up free on Readfeed, then browse public clubs or start your own club with Contemporaneous threshold autoregressive models as the current read. Invite friends with a share link and discuss together with live chat and AI discussion questions.

Can I discuss Contemporaneous threshold autoregressive models with other readers online?

Yes. Readfeed book clubs let you chat live, share progress, and join discussions about Contemporaneous threshold autoregressive models with readers worldwide — whether your club is virtual, in-person, or hybrid.

Is Readfeed free?

Yes. Creating an account and joining book clubs is free. Sign up to find readers who love the same books and start discussing today.