Threshold autoregressive (TAR) models can accommodate the asymmetric cycling behavior observed in some time series data. This study develops a procedure to estimate TAR models when the conditional mean of the dependent variable is function of one or more exogenous factors while allowing for...

We analyze time-varying volatility in crude oil, heating oil, and natural gas futuresmarkets by incorporating changes in important macroeconomic variables and majorpolitical and weather-related events in conditional variance equations. We allow eachmarket to respond to positive news different...

The behavior of agricultural commodity markets can arguably result in markedly asymmetricprice cycles, that is, downward cycles of substantially different length and breadth thanupward cycles. This study assesses whether asymmetric-cycle models can enhance the understandingof the dynamics and...