Modeling and forecasting interval time series with threshold models

@article{Rodrigues2015ModelingAF,
  title={Modeling and forecasting interval time series with threshold models},
  author={Paulo M. M. Rodrigues and Nazarii Salish},
  journal={Adv. Data Analysis and Classification},
  year={2015},
  volume={9},
  pages={41-57}
}
The analyses, opinions and fi ndings of these papers represent the views of the authors, they are not necessarily those of the Banco de Portugal or the Eurosystem Abstract Over recent years several methods to deal with high-frequency data (economic, …nancial and other) have been proposed in the literature. An interesting example is for instance interval-valued time series described by the temporal evolution of high and low prices of an asset. In this paper a new class of threshold models… CONTINUE READING