Published
2015-01-28

Modelos TAR en series de tiempo financieras

TAR models in financial time series

DOI: https://doi.org/10.15332/s2027-3355.2014.0002.07
Edna Moreno
Facultad de Estadística Universidad Santo Tomás
Fabio H. Nieto
Universidad Nacional de Colombia
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Abstract (en)

The performance of TAR models to analyse financial time series is evaluated. Empirically, and using data from the Brasilian stock market, the TAR model is compared with GARCH models via conditional moments.
Keywords (en): heterocedasticidad condicional, modelo TAR, series temporales rinancieras.

Abstract (es)

En este artículo, se evalúa el desempeño de un modelo autorregresivo de umbrales (TAR),en el análisis de series de tiempo financieras. Se utilizan datos del mercado accionario brasilero y norteamericano a fin de ajustar un modelo; además se realiza una comparación con los modelos GARCH vía los momentos condicionales. 

Keywords (es): heterocedasticidad condicional, modelo TAR, series temporales rinancieras.

References

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Hoyos, N. (2006), Una aplicación del modelo TAR en economía, Master’s thesis, Universidad Nacional de Colombia, sede Bogotá.

Moreno, E. (2010), Una aplicación del modelo tar en series financieras, Master’s thesis, Universidad Nacional de Colombia, sede Bogotá.

Nieto, F. (2005), ‘Modeling bivariate threshold autoregressive processes in the presence of missing data’, Comunications in Statistics: Theory and Methods 34, 905–930.

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How to Cite

Moreno, E., & Nieto, F. H. (2015). TAR models in financial time series. Comunicaciones En Estadística, 7(2). https://doi.org/10.15332/s2027-3355.2014.0002.07

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