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A Robust Test for Threshold‐Type Nonlinearity in Multivariate Time Series Analysis

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  • Wai‐Sum Chan
  • Siu Hung Cheung
  • Wai Kit Chow
  • Li‐Xin Zhang

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  • Wai‐Sum Chan & Siu Hung Cheung & Wai Kit Chow & Li‐Xin Zhang, 2015. "A Robust Test for Threshold‐Type Nonlinearity in Multivariate Time Series Analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(6), pages 441-454, September.
    • Handle: RePEc:wly:jforec:v:34:y:2015:i:6:p:441-454
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    Cited by:

    1. Grossi, Luigi & Nan, Fany, 2019. "Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources," Technological Forecasting and Social Change, Elsevier, vol. 141(C), pages 305-318.
    2. Luigi Grossi & Fany Nan, 2017. "Forecasting electricity prices through robust nonlinear models," Working Papers 06/2017, University of Verona, Department of Economics.
    3. Luigi Grossi & Fany Nan, 2018. "The influence of renewables on electricity price forecasting: a robust approach," Working Papers 2018/10, Institut d'Economia de Barcelona (IEB).

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