Threshold models have been found useful in modeling nonlinearities in many financial time series. In this framework, the financial variable of interest evolves according to different dynamics, which is solely determined by the threshold regimes that the observed indicator variable falls into....

This paper studies volatility in individual stocks of the Toronto Stock Exchange (TSE), using a recently developed nonlinear approach, a stochastic threshold model. Trading information is embedded into the determination process for volatility in the stochastic threshold model with a generalized...

This paper studies volatility in individual stocks of the Toronto Stock Exchange (TSE), using a recently developed nonlinear approach, a stochastic threshold model. Trading information is embedded into the determination process for volatility in the stochastic threshold model with a generalized...

Threshold models have been found useful in modeling nonlinearities in many financial time series. In this framework, the financial variable of interest evolves according to different dynamics, which is solely determined by the threshold regimes that the observed indicator variable falls into....