Qian, Xi-Yuan; Song, Fu-Tie; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 2, pp. 503-510
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...