Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 4 of 4 for “"Threshold VAR"”.
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Bond yield modelling and its application in the European Union
… thesis uses government bond yields and applies various models to forecast the crisis which happened recently. Chapter 2 investigates a model utilising the term structure of interest rates to predict output growth and recession in the UK. In contrast to previous literature, information retrieved …
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Bayesian Analysis of Latent Threshold Dynamic Models
… new and broadly applicable idea based on latent threshold models. The latent threshold approach is a model-based framework for inducing data-driven shrinkage of elements of parameter processes, collapsing them fully to zero when redundant or irrelevant while allowing for time-varying non-zero …
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Economic Adjustment in Small Open Economies to External Shocks Arising from the Carry Trade, Trade Liberalisation and Remittance Flows
… and the Australia's macroeconomy. A nonlinear threshold VAR model was used to capture the asymmetric effects of normal sized and large shocks to capturing the unwinding of the carry trade. The results show that in a high pressure regime where it is likely for the carry trade to unwind, a fall …
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Economic Adjustment in Small Open Economies to External Shocks Arising from the Carry Trade, Trade Liberalisation and Remittance Flows
… and the Australia's macroeconomy. A nonlinear threshold VAR model was used to capture the asymmetric effects of normal sized and large shocks to capturing the unwinding of the carry trade. The results show that in a high pressure regime where it is likely for the carry trade to unwind, a fall …