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An efficient estimate and forecast of the implied volatility surface : a nonlinear Kalman filter approach

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State-dependent autoregressive models with p lags : properties, estimation and forecasting

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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

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Statistical inference for conditional quantiles in nonlinear time series models

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Modelling economic high-frequency time series

Lundbergh, Stefan; Teräsvirta, Timo - 1999

In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests...

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A robust test for threshold-type nonlinearity in multivariate time series analysis

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