Jamaleh, Asmara - In: Rivista di Politica Economica 91 (2001) 2, pp. 79-132
A Self-Exciting Threshold AutoRegressive (SETAR) model is applied to the Italian stock market volatility, to obtain volatility forecasts and Value-at-Risk (VaR) estimates. There is almost nothing dealing with Italian markets in the literature of Threshold models, which have never been used for...
