transition function and proposed the variable addition tests as the tests of linearity against smooth transition nonlinearity …

structure. The paper reports clear evidence of nonlinearity, in contrast to the affine term structure model and consistent with … recent claims in the literature. We find that there is a threshold effect of volatility on the interest rate but this effect … does not capture the entire nature of the nonlinearity. The quadratic term structure model recently proposed performs …

is shown that the nonstationarity of volatility in the regression errors may induce spuriousness of the underlying … nonstationary volatility is present in the errors. Mild nonstationary volatilities do not render the underlying regression spurious …

This paper investigates the effect of exchange rate volatility on US-UK bilateral trade flows. As part of econometric …

Previous analytical models focused on the effects of the real exchange rate (RER) and the RER volatility on Chinese … dollar because the negative impacts of the revaluation, and its accompanying effects on the RER volatility, if any, on the …

in volatility of the US auto sales after the introduction of smaller foreign cars in the 1970s …