Chen, Yi-Hsuan; Hafner, Christian M. - In: Journal of risk and financial management : JRFM 12 (2019) 2/53, pp. 1-12
variable in a smooth transition autoregression. The model allows for conditional heteroskedasticity and fat tails of the … specified bubble regime controlled by a smooth transition function, are more akin to the notion of speculative bubble that is …