In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. The model is a multivariate generalization of...

This paper proposes a new procedure for detecting the presence of periodically collapsing rational bubbles via an analysis of the properties of the relevant observable time series. The procedure is based on random coefficient autoregressive models. An empirical application of the procedure to...

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Terauml;svirta (1998), in which the regime weights depend on the ex ante probability that a latent regime-specific...

This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US|UK data, it is shown that the UFER...