Observations of security prices and other financial time series usually include not only the close (C), but also an open, a high and a low (O,H,L) price for a specified interval. The multivariate vector of values (H,L,O,C) is obviously more informative than just the open or close (O, C) for...

The smooth transition autoregressive (STAR) model was proposed by Chan and Tong (1986) as a generalization of the threshold autoregressive (TAR) model, and since then it has attracted wide attention in the recent literature on the business cycles and the equilibrium parity relationships of...