Boinet, V.; Gregoriou, A.; Ioannidis, C. - In: Applied Financial Economics 18 (2008) 15, pp. 1221-1231
We estimate a model of holding period adjustment for four stock indices in the UK over the period 1980 to 2004. We postulate zone-symmetric investor preferences that result in an estimable ESTAR (Exponential Smooth Transition Autoregressive) model of the holding period for common stocks as a...