This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system, and nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointe- gration studied by Balke and Fomby...

This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system, and nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointe- gration studied by Balke and Fomby...

The varying-coefficient single-index models (VCSIMs) form a class of very flexible and general dimension reduction models, which contain many important regression models such as partially linear models, pure single-index models, partially linear single-index models, varying-coefficient...

An analytically tractable class of square-root interest-rate models is introduced. Algebraic expressions are found for the drift and volatility parameters of the short rate in terms of initial yield and volatility curves. Explicit formulae are derived for bond, Arrow-Debreu, and European and...