Fernandes, Marcelo; Medeiros, Marcelo Cunha; Scharth, … - Departamento de Economia, Pontifícia Universidade … - 2007
transition and threshold HAR-type models, as well as to smooth transition autoregressive trees (START) for modeling and … realized volatilities. We thus resort to linear and nonlinear heterogeneous autoregressive (HAR) processes, including smooth …