Temporal Clustering of Time Series via Threshold Autoregressive Models: Application to Commodity Prices

3 May 2016Sipan AslanCeylan YozgatligilCem Iyigun

This study aimed to find temporal clusters for several commodity prices using the threshold non-linear autoregressive model. It is expected that the process of determining the commodity groups that are time-dependent will advance the current knowledge about the dynamics of co-moving and coherent prices, and can serve as a basis for multivariate time series analyses... (read more)

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