000K utf8 1100 $c2017 1500 eng 2050 urn:nbn:de:gbv:8-diss-201707 3000 Leppin, Julian Sebastian 4000 Smooth Transition Regression Models in Finance$hChristian-Albrechts-Universität zu Kiel [Leppin, Julian Sebastian] 4030 Kiel$nChristian-Albrechts-Universität zu Kiel 4209 This thesis covers the further development of smooth transition regression models and their applications in finance. Smooth transition regression models are used to model nonlinearity of regime-switching type in empirical applications. Usually, smooth transition regression models are used with univariate transition functions, that is, a single transition variable is supposed to govern the transition between regimes. With multivariate transition functions, the transition between regimes can be driven by more than one variable, each weighted by its estimated impact on the transition process. The first paper of the thesis transfers the use of multivariate transition functions to the panel smooth transition regression model and uses oil price forecast as an empirical application. Another commonly found restriction is that smooth transition regression models are applied with a single homogeneous transition function. If a model with more than one regime-switching variable is used, the transition between regimes can be either estimated with a single transition function for all regime-switching variables (homogeneous model) or with different transition functions (heterogeneous model) for each regime-switching variable. The second paper of the thesis proposes the use of panel smooth transition regression models with heterogeneous and multivariate transition functions. Credit default swap pricing is used as an empirical application. The previously introduced generalization of the smooth transition regression framework with heterogeneous transition functions increases the flexibility of the model. Using the heterogeneous model instead of the homogeneous one is the cautionary choice, because estimating the homogeneous model when a heterogeneous specification is appropriate generally leads to biased parameters. Therefore, the third paper of the thesis proposes a test for the decision between homogeneous and heterogeneous transition functions. Empirical size and power of the test are examined by a Monte-Carlo simulation. 4950 https://nbn-resolving.org/urn:nbn:de:gbv:8-diss-201707$xR$3Volltext$534 4961 https://macau.uni-kiel.de/receive/diss_mods_00020170 5051 330 5550 credit default swaps 5550 heterogeneous transition functions 5550 multivariate transition functions 5550 oil price forecasts 5550 panel data 5550 Regime switches 5550 smooth transition regression models