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 …

This paper proposes a contemporaneous-threshold smooth transition GARCH (or CSTGARCH) model for dynamic conditional … threshold autoregressive model of Dueker et al. (2007), in which the regime weights depend on the ex ante probability that a … contemporaneous latent regime-specific variable exceeds a threshold value. A key feature of the C-STGARCH model is that its transition …

This paper proposes 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 …

threshold is a time-varying function of variables that affect the separation of regimes of the time series under consideration … best thought of in relative terms. State-dependent logistic STAR and contemporaneous-threshold STAR models are introduced … threshold is allowed to be a function of past output growth and inflation. …