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 …

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

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

volatility across different time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …

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 …

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 …