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Showing 1 to 1 of 1 for “"Threshold Regressions"”.
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Temporal Issues in Market Inefficiency in asset prices with an emphasis on commodities
… thereby motivates estimation by Markov switching-regressions. Three major contributions are made in Chapter 4. Firstly, we make a theoretical contribution to the literature on threshold auto-regressive models with exogenous triggers. Conditions for the existence of a mean and variance when a …