✦ LIBER ✦

The behaviour of US stock prices: Evidence from a threshold autoregressive model

✍ Scribed by Paresh Kumar Narayan

Book ID: 108200284
Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 111 KB
Volume: 71
Category: Article
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2005.11.016

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Tests of the conditional asset pricing m

Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns

✍ Stuart Hyde; Mohamed Sherif 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 145 KB 👁 1 views

## Abstract We analyse the ability of the conditional asset pricing models to explain the cross‐sectional variation in UK stock returns. We examine conditional versions of the Sharpe‐Linter CAPM and the Fama‐French three‐factor model. The results indicate that the conditional single‐factor model is

A Comparison of the Forecast Performance

A Comparison of the Forecast Performance of Markov-switching and Threshold Autoregressive Models of US GNP

✍ Michael P. Clements; Hans-Martin Krolzig 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 462 KB

The Sensitivity of Tests of Asset Pricin

The Sensitivity of Tests of Asset Pricing Models to the IID-Normal Assumption: Contemporaneous Evidence from the US and UK Stock Markets

✍ Nicolaas Groenewald; Patricia Fraser 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 148 KB

Price Movers on the Stock Exchange of Th

Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market

✍ Charlie Charoenwong; David K. Ding; Nattawut Jenwittayaroje 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 161 KB

Constant conditional correlation in a bi

Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China

✍ Albert K. Tsui; Qiao Yu 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 69 KB

Nonlinear behaviour of the Chinese SSEC

Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

✍ Xi-Yuan Qian; Fu-Tie Song; Wei-Xing Zhou 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 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