Audrino, Francesco; Medeiros, Marcelo Cunha - Departamento de Economia, Pontifícia Universidade … - 2010
estimator are derived. Model specification is also discussed. When the model is applied to the US short-term interest rate we …In this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term … interest rate process. The estimation of such models is addressed and the asymptotic properties of the quasi-maximum likelihood …