Dueker, Michael; Psaradakis, Zacharias; Sola, Martin; … - Departamento de Economía, Universidad Torcuato Di Tella - 2009
This paper proposes a contemporaneous-threshold smooth transition GARCH (or CSTGARCH) model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization to second conditional moments of the contemporaneous smooth transition threshold autoregressive model of Dueker et al....