Nonlinear behaviour of the Chinese SSEC
โ
Xi-Yuan Qian; Fu-Tie Song; Wei-Xing Zhou
๐
Article
๐
2008
๐
Elsevier Science
๐
English
โ 349 KB
We have investigated the behaviour of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with a unit root developed by Caner and Hansen. The method allows us to simultaneously consider nonst