Seetharam, Yudhvir; Britten, James - In: International Journal of Emerging Markets 10 (2015) 4, pp. 670-683
Purpose – The purpose of this paper is to expand on the sparse literature on non-linear modelling in South Africa and test for non-linearity of the market cycle on the Johannesburg Stock Exchange, with specific focus on a particular non-linear model – a Smooth Transition Auto-Regressive...