This paper introduces the structural threshold regression model that allows for an endogeneous threshold variable as well as for endogenous regressors. This model provides a parsimonious way of modeling nonlinearities and has many potential applications in economics and .finance. Our framework...

The basic channel within monetary transmission mechanism is the interest rate channel. However, the praxis of this channel in developing countries like Turkey and particularly under the regime of inflation targeting depends on the level of fiscal domination. Particularly fiscal domination within...

Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...