Stationary Threshold Vector Autoregressive Models
This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A situa...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-08-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1911-8074/11/3/45 |