This is a preview. Log in through your library . Abstract The extensive coverage of suicides in the media has long been considered a trigger for copycat suicides. However, evidence of such an effect ...

A portmanteau test to detect self-exciting threshold autoregressive-type nonlinearity in time series data is proposed. The test is based on cumulative sums of standardized residuals from ...

We apply a variety of volatility models in setting the initial margin requirements for central clearing counterparties (CCPs) and show how to mitigate procyclicality using a three-regime threshold ...

This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...