We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...

There is growing evidence that the impact of financial development on economic growth might be non-linear and hump-shaped, exhibiting a turning point. However, such findings are typically established using total finances (mostly: credit), and the apparent non-linear impact of totals can stem...