Baragona, Roberto; Cucina, Domenico - In: Jahrbücher für Nationalökonomie und Statistik 233 (2013) 1, pp. 3-21
Summary Several nonlinear time series models have been proposed in the literature to explain various empirical nonlinear features of many observed financial and economic time series. One model that has gained much attention is the so-called self-exciting threshold autoregressive (SETAR) model....