threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of … intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …

threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of … intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …

non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth … which conditional heteroskedasticity is captured by GARCH type specifications and in which predicted volatilities appear in …

non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth … which conditional heteroskedasticity is captured by GARCH type specifications and in which predicted volatilities appear in …

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 …

This paper proposes 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 …

threshold is a time-varying function of variables that affect the separation of regimes of the time series under consideration … best thought of in relative terms. State-dependent logistic STAR and contemporaneous-threshold STAR models are introduced … threshold is allowed to be a function of past output growth and inflation. …