This article considers the problem of selecting among competing nonlinear time series models by using complexity-penalized likelihood criteria. An extensive simulation study is undertaken to assess the small-sample performance of several popular criteria in selecting among nonlinear...

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed.

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed.

We examine several continuous-time term-structure models, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that inquiring which parameters of the short-term interest rate equation are allowed to switch is crucial, as failing to do so may result in switching...

We estimate versions of the Nelson-Siegel model of the yield curve of U.S. government bonds using a Markov switching latent variable model that allows for discrete changes in the stochastic process followed by the interest rates. Our modelling approach is motivated by evidence suggesting the...

Despite intensive investigation, little evidence has been found for a traditional Richardson-style arms race between Greece and Turkey using regression methods. This article uses an alternative model of the arms race, which treats it as a simple repeated two-by-two game such as the Prisoner's...

In this paper we estimate the yield curve of U.S. government bonds using a Markov switching latent variable model. We show how measures such as the level, slope, and curvature of the yield curve are a¤ected by business cycle conditions. We present a switching latent model which not only seem to...

This paper considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterized by different rates of adjustment. To motivate our analysis and illustrate the various issues involved, our discussion is structured around the analysis of the long-run...