YAVUZ, Nilgün ÇİL; KIRAN, Burcu - In: Iktisat Isletme ve Finans 25 (2010) 296, pp. 77-91
This paper investigates whether the Istanbul Stock Exchange (ISE) prices can be characterized as a random walk or mean reversion process in a non-linear framework. We employ an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root based on bootstrap...