This paper introduces a new model for spatial time series in which cross-sectional dependence varies nonlinearly over space by means of smooth transitions. We refer to our model as the Smooth Transition Spatial Autoregressive (ST-SAR). We establish consistency and asymptotic Gaussianity for the...

This article generalises the results of Sadi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models with discontinuities, leverage e ects and robust news impact curves. We propose a new method of proof for the existence of a strictly stationary and phi-mixing solution....

This paper introduces a new model for spatial time series in which cross-sectional dependence varies nonlinearly over space by means of smooth transitions. We refer to our model as the Smooth Transition Spatial Autoregressive (ST-SAR). We establish consistency and asymptotic Gaussianity for the...