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

Author

Listed:
  • Oscar Espinosa
  • Fabio Nieto
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.

Suggested Citation

  • Oscar Espinosa & Fabio Nieto, 2020. "A study on the leverage effect on financial series using a TAR model: a Bayesian approach," Papers 2002.05319, arXiv.org, revised Feb 2020.
    • Handle: RePEc:arx:papers:2002.05319
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    References listed on IDEAS

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