Bildirici, Melike; Ersin, Özgür Ömer - In: Journal for Economic Forecasting (2014) 3, pp. 108-135
The study aims to extend the GARCH type volatility models to their nonlinear TAR (Tong, 1990) and STAR-based (Terasvirta, 1994) counter parts where both the conditional mean and the conditional variance processes follow TAR and STAR nonlinearity. The paper further investigates the models under...