Dueker Michael J.; Zacharias, Psaradakis; Martin, Sola; … - In: Studies in Nonlinear Dynamics & Econometrics 15 (2011) 2, pp. 1-25
This paper proposes a contemporaneous-threshold smooth transition GARCH (or C-STGARCH) model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization to second conditional moments of the contemporaneous smooth transition threshold autoregressive model of Dueker et al....