With the dataset of 7,962 firms in Vietnam and using the Cox proportional hazard model, the main findings are drawn that the relationship between the growth (both in employment and in assets) and the survival is positive and non-linearity, and as increasing the growth, the effect of growth on...

In this paper we propose a flexible model to capture nonlinearities and long-range dependence in time series dynamics. The new model is a multiple regime smooth transition extension of the Heterogenous Autoregressive (HAR) model, which is specifically designed to model the behavior of the...

Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little theoretical or statistical...

With the globalization of financial and commodity markets, it is becoming increasingly important to recognize price linkages between markets beyond national boundaries. Models of futures pricing that incorporate such price linkages into the information set can be expected to be superior...

This paper features an analysis of the relationship between the S&P500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P500 daily continuously compounded...