This article considers the problem of selecting among competing nonlinear time series models by using complexity-penalized likelihood criteria. An extensive simulation study is undertaken to assess the small-sample performance of several popular criteria in selecting among nonlinear...

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed.

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed.

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed

This paper considers the problem of estimating Markov regime switching models with endogenous explanatory variables. When the data-generating process for consumption is subject to Markov regime switching, the standard model for the term structure of interest rates based on the Euler equations...