In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. The model is a multivariate generalization of...

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Terauml;svirta (1998), in which the regime weights depend on the ex ante probability that a latent regime-specific...

This paper proposes a new procedure for detecting the presence of periodically collapsing rational bubbles via an analysis of the properties of the relevant observable time series. The procedure is based on random coefficient autoregressive models. An empirical application of the procedure to...

This paper considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterised by different rates of adjustment. To motivate our analysis and illustrate the various issues involved, our discussion is structured around the analysis of the long-run...

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Terasvirta (1998). Because it uses a forward-looking approach to weight the regimes, in contrast to the typical...

Despite intensive investigation, little evidence has been found for a traditional Richardson style arms race between Greece and Turkey using regression methods. This paper uses an alternative model of the arms race, which treats it as a simple repeated two by two game like Prisoners' Dilemma, in...

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed

This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER...