This paper examines if overreaction of oil price forecasters is related to uncertainty. Furthermore, it takes into account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression model from González et al. (2005) is applied with...

(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however, researchers typically face a trade-off in the sense that a...

This thesis covers the further development of smooth transition regression models and their applications in finance. Smooth transition regression models are used to model nonlinearity of regime-switching type in empirical applications. Usually, smooth transition regression models are used with...