In this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term interest rate process. The estimation of such models is addressed and the asymptotic properties of the quasi-maximum likelihood estimator are derived. Model specification is also...

In this paper we propose a smooth transition tree model for both the conditional mean and the conditional variance of the short-term interest rate process. Our model incorporates the interpretability of regression trees and the flexibility of smooth transition models to describe regime switches...

We empirically investigate the predictive power of the various components affecting correlations that have been recently introduced in the literature. We focus on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover,...

We propose a new approach based on a generalization of the classic logit model to improve prediction accuracy in US bank failures. We introduce mixed-data sampling (Midas) aggregation to construct financial predictors in a logistic regression. This allows us to relax the limitation of...