threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of … intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …

threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of … intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …

non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth … which conditional heteroskedasticity is captured by GARCH type specifications and in which predicted volatilities appear in …

non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth … which conditional heteroskedasticity is captured by GARCH type specifications and in which predicted volatilities appear in …

We compare the ability of correlation and threshold effects in a stochastic volatility model to capture the asymmetric … correlation does a better job of capturing asymmetry than a threshold stochastic volatility model even though it has fewer … parameters. We develop a stochastic volatility model that includes both threshold effects and correlated innovations. We find …

A Bayesian estimation of a regime-switching threshold asymmetric GARCH model is proposed. The specification is based on … free non-positive threshold parameters. The model aims at determining whether or not: (i) structural breaks are present … threshold parameters (locations of bad news) are similar between regimes. A novel MCMC scheme is proposed which allows for a …