A study on the leverage effect on financial series using a TAR model: a Bayesian approach

Oscar Espinosa Acuña and Fabio Nieto

Papers from arXiv.org

Abstract: This research shows that under certain mathematical conditions, a threshold autoregressive model (TAR) can represent the leverage effect based on its conditional variance function. Furthermore, the analytical expressions for the third and fourth moment of the TAR model are obtained when it is weakly stationary.

Date: 2020-02, Revised 2020-02
New Economics Papers: this item is included in nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2002.05319

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