Threshold Random Walk Structures in Finance

Francesco Giordano (), Marcella Niglio () and Cosimo Damiano Vitale ()
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Francesco Giordano: University of Salerno, Di.S.E.S.
Marcella Niglio: University of Salerno, Di.S.E.S.
Cosimo Damiano Vitale: University of Salerno, Di.S.E.S.

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 109-112 from Springer

Abstract: Abstract In this paper we propose a new model that generalizes, in nonlinear domain, the random walk process: we call this model threshold random walk. From the empirical point of view it is able to model the asymmetric behaviour of financial data that is neglected from the random walk structure. We further provide a statistical tool for testing unit root versus a stationary threshold autoregressive model.

Keywords: Threshold random walk; Unit root test (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_25

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DOI: 10.1007/978-3-319-05014-0_25

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