Lanne, Markku; Saikkonen, Pentti - In: Econometrics Journal 8 (2005) 2, pp. 251-276
In this paper we study a new class of nonlinear GARCH models. Special interest is devoted to models that are similar to previously introduced smooth transition GARCH models except for the novel feature that a lagged value of conditional variance is used as the transition variable. This choice of...