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Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models

✍ Scribed by David G McMillan

Book ID
114344210
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
151 KB
Volume
10
Category
Article
ISSN
1059-0560

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International integration of financial markets provides a channel for currency movements to affect stock prices. This paper applies a four-regime double-threshold GARCH (DTGARCH) model of stock market returns to investigate empirically the effects of daily currency movements on five stock market ret