A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns

This paper proposes an extension to threshold-type switching models that lets the threshold variable be a linear combination of exogenous variables with unknown coefficients. An algorithm to estimate the model’s parameters by least squares is provided and the validity of the methodological framework is assessed by a Monte Carlo study. The empirical usefulness of the proposed specification is illustrated by an application to US stock returns.

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Year of publication:	2013
Authors:	Massacci, Daniele
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 119.2013, 2, p. 199-203
Publisher:	Elsevier
Subject:	Threshold model \| Flexible threshold variable \| Stock returns

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Type of publication:	Article
Classification:	C13 - Estimation ; C22 - Time-Series Models ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010664147