This paper derives the autocorrelation function of the squared values of long-memory GARCH processes. Such processes are of much interest as they can produce the long-memory conditional heteroskedasticity that many high-frequency financial time series exhibit. An empirical application...

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Terasvirta (1998). Because it uses a forward-looking approach to weight the regimes, in contrast to the typical...