Nonlinear time series models, especially those with regime-switching and/or conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little...

Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little theoretical or statistical...

The aim of this paper is to investigate the effect of the Chinese B share market reform on the conditional correlation and information transmission between A and B Shares issued in the Shanghai and Shenzen stock exchanges. Daily returns for the Shanghai A share index (SHA), Shanghai B share...

This paper aims to analyse the seasonality in New Zealand tourism demand from Australia and the USA using spectral analysis. Tourism demand is divided into four different categories depending on the tourists’ visiting purposes as registered in the customs cards upon their arrivals in New...

This paper examines the finite sample properties of structural change tests with an unknown breakpoint for the probit model in the presence of serial correlation. The combination of structural change and serial correlation renders model estimation challenging, affecting the consistency of...

This paper develops a generalized autoregressive conditional correlation (GARCC) model when the standardized residuals follow a random coefficient vector autoregressive process. As a multivariate generalization of the Tsay (1987, <italic>Journal of the American Statistical Association</italic> 82, 590–604)...

The paper investigates several empirical issues regarding quasi-maximum likelihood estimation of smooth transition autoregressive (STAR) models with GARCH errors (STAR-GARCH) and STAR models with smooth transition GARCH errors (STAR-STGARCH). Empirical evidence is provided to show that different...

Theoretical and practical interest in non-linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant research activity in analysing time-varying volatility through Generalized Autoregressive Conditional Heteroscedasticity...

This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and STAR-STGARCH. Convergence, the choice of different algorithms for maximising the likelihood function, and...