This paper proposes a contemporaneous-threshold smooth transition GARCH (or CSTGARCH) model for dynamic conditional … threshold autoregressive model of Dueker et al. (2007), in which the regime weights depend on the ex ante probability that a … contemporaneous latent regime-specific variable exceeds a threshold value. A key feature of the C-STGARCH model is that its transition …

threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of … threshold model is preferred for stock returns, a smooth-transition model is more likely for exchange rates. …

is better characterized as nonlinearity. The paper revisits the issue by employing the threshold regressions with … instrumental variables approach. Using the initial level of economic development as a threshold variable, we find strong evidence … in support of a nonlinear income threshold in the relationship. In particular, the data show that an increase in …

We compare the ability of correlation and threshold effects in a stochastic volatility model to capture the asymmetric … correlation does a better job of capturing asymmetry than a threshold stochastic volatility model even though it has fewer … parameters. We develop a stochastic volatility model that includes both threshold effects and correlated innovations. We find …

applications. For example, we notice that positively correlated arrival process appears to benefit with the threshold type queueing … model. We also give the minimum delay costs and the associated maximum setup costs so that the threshold type queueing model …

the US government deficit per capita as a threshold autoregressive process. We find evidence that the US budget deficit is … certain threshold. …