This paper examines nonlinearities in the dynamics of volatility expectations using benchmarks of implied volatility for the US and Japanese markets. The evidence from Markov regime-switching models suggests that volatility expectations are likely to be governed by regimes featuring a long...

This paper uses a logistic smooth transition model to examine the impact of rising oil prices on personal consumption expenditures in open and industrialized economies. The empirical results suggest a nonlinear and asymmetric relation between oil price changes and personal consumption...

This article is concerned with forecasting from nonlinear conditional mean models. First, a number of often applied nonlinear conditional mean models are introduced and their main properties discussed. The next section is devoted to techniques of building nonlinear models. Ways of computing...

We develop a non-dynamic panel smooth transition regression model with fixed individual effects. The model is useful for describing heterogenous panels, with regression coefficients that vary across individuals and over time. Heterogeneity is allowed for by assuming that these coefficients are...

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Desde comienzos de los ’80, la elaboración de modelos no lineales se está volviendo una metodología cada vez más popular en economía. Sin embargo, no es tan novedosa como muchos investigadores parecen creer. Antes de que el enfoque lineal dominara a la teoría económica alrededor de los...

In this paper, we consider the problem of estimation of semi-linear regression models. Using invariance arguments, Bhowmik and King (2001) have derived the probability density functions of the maximal invariant statistic for the nonlinear component of these models. Using these density functions...

This article is concerned with forecasting from nonlinear conditional mean models. First, a number of often applied nonlinear conditional mean models are introduced and their main properties discussed. The next section is devoted to techniques of building nonlinear models. Ways of computing...