The aim of this paper is to justify the use of threshold autoregressive models in financial time series. A category of potential applications insolves the presence of fixed costs of adjustment that leads to economic agents adjusting to deviations from equilibrium only when the benefits from adjustment exceed the costs, this is the case of the mispricing error. The new idea is that the error process is not assumed, as usual, as an i.i.d. sequence, but as a martingale difference sequence. Finally a numerical analysis on the base of a real data set related to the Italian derivative financial market has been performed.

On the use of threshold models in the case of intraday futures prices

SCHOIER, GABRIELLA
2001-01-01

Abstract

The aim of this paper is to justify the use of threshold autoregressive models in financial time series. A category of potential applications insolves the presence of fixed costs of adjustment that leads to economic agents adjusting to deviations from equilibrium only when the benefits from adjustment exceed the costs, this is the case of the mispricing error. The new idea is that the error process is not assumed, as usual, as an i.i.d. sequence, but as a martingale difference sequence. Finally a numerical analysis on the base of a real data set related to the Italian derivative financial market has been performed.
2001
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/1726087
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