Dueker, Michael; Psaradakis, Zacharias; Sola, Martin; … - Departamento de Economía, Universidad Torcuato Di Tella - 2009
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 …