Lai, Baoying; Joseph, Nathan Lael - In: Applied Financial Economics 20 (2010) 18, pp. 1441-1460
This empirical study examines the Pricing-To-Market (PTM) behaviour of 20 UK export sectors. Using both Exponential General Autoregressive Conditional Heteroscedasticity (EGARCH) and Threshold GARCH (TGARCH) estimation methods, we find evidence of PTM that is accompanied by strong conditional...