Freitas Lopes, Hedibert; Salazar, Esther - In: Econometric analysis of financial and economic time series, (pp. 225-238). 2006
In this paper, we propose a Bayesian approach to model the level and the variance of (financial) time series by the special class of nonlinear time series models known as the logistic smooth transition autoregressive models, or simply the LSTAR models. We first propose a Markov Chain Monte Carlo...
