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 considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterised by different rates of adjustment. To motivate our analysis and illustrate the various issues involved, our discussion is structured around the analysis of the long-run...

Despite intensive investigation, little evidence has been found for a traditional Richardson style arms race between Greece and Turkey using regression methods. This paper uses an alternative model of the arms race, which treats it as a simple repeated two by two game like Prisoners' Dilemma, in...

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed

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...