Many high frequency economic or financial time series display two empirical characteristics: high kurtosis and positive autocorrelation in the centred and squared observations. The first- order autocorrelation is typically low, and the autocorrelation function decays slowly. These series are...

In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...

This paper considers smooth transition regression models and their univariate counterparts, smooth transition autoregressive models. The model is defined and thereafter, linearity testing, statistical inference in smooth transition models, and areas of application are discussed. A bivariate...

In this paper we consider the fourth moment structure of a class of first-order Exponential GARCH models. This class contains as special cases both the standard Exponential GARCH model and the symmetric and asymmetric Logarithmic GARCH one. Conditions for the existence of any arbitrary moment...

A smooth transition autoregressive model is estimated for the Southern Oscillation Index, an index commonly used as a measure of El Niño events. Using standard measures there is no indication of nonstationarity in the index. A logistic smooth transition autoregressive model describes the most...

In this paper we introduce an autoregressive model with a deterministically shifting intercept. This implies that the model has a shifting mean and is thus nonstationary but stationary around a nonlinear deterministic component. The shifting intercept is defined as a linear combination of...