Is non-linearity a permanent feature? Evidence from recursive and rolling estimation
Using recursive and rolling estimation evidence is reported that STAR non-linearity is ever present within the DJIA. Further, the parameters of interest exhibit some temporal dependence. These results suggest that non-linearity is a regular feature of the data that should be modelled and used in forecasting, although variation in parameter values may need to be incorporated.
Year of publication: |
2005
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Authors: | McMillan, David G. |
Published in: |
Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 1.2005, 4, p. 229-232
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Publisher: |
Taylor and Francis Journals |
Saved in:
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