Coelho, Pedro Pacheco; Gomes, Luís; Ramos, Patrícia - In: Risks : open access journal 11 (2023) 7, pp. 1-14
Autoregression model as well as the Momentum Threshold Autoregression model were calculated by combining the US Freddie, DJIA, and … European stock markets, given the international relevance of these exchanges. Using data from 1989:Q1 to 2020:Q2, the Threshold …