Search Results - subject:"momentum threshold autoregression"

Asymmetric wealth effect between US stock markets and US housing market and European stock markets : evidences from TAR and MTAR

Coelho, Pedro Pacheco; Gomes, Luís; Ramos, Patrícia - In: Risks : open access journal 11 (2023) 7, pp. 1-14

Autoregression model as well as the Momentum Threshold Autoregression model were calculated by combining the US Freddie, DJIA, and …

Persistent link: https://www.econbiz.de/10014340266

Coffee price dynamics : an analysis of the retail-international price margin

Ghoshray, Atanu; Mohan, Sushil - In: European review of agricultural economics 48 (2021) 4, pp. 983-1006

Persistent link: https://www.econbiz.de/10012618818

Dynamic adjustment of crude oil price spreads

Ghoshray, Atanu; Trifonova, Tatiana - In: The energy journal 35 (2014) 1, pp. 119-136

Persistent link: https://www.econbiz.de/10010246062

A New Test of Asymmetric Stationarity in the Presence of Deterministic Trends: Simulation and Empirical Evidence

Cook, Steven - In: The International Journal of Applied Economics 1 (2004) 1, pp. 46-54

Using local-to-unity detrending, a modified momentum-threshold autoregressive test is derived to allow the unit root hypothesis to be tested against an alternative of asymmetric stationarity about a deterministic trend. Monte Carlo evidence is presented to show the increased power of the...

Persistent link: https://www.econbiz.de/10004975663