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...

This paper proposes a new model that captures the interaction between duration and magnitude of changes in asset prices, and thus provides a convenient framework to test statistically the existence of such relationship. The model is flexible and contains various well known models as special...