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

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...

We propose news sentiment as a new explanatory variable for interest rates. Using articles related to interest rates, inflation, and the labor market we demonstrate the in-sample predictive power of sentiment on the short-rate applying the Taylor rule and a threshold autoregressive model. This...