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Modelling nonlinearities in equity returns : the mean impact curve analysis
Martin, Vance; Sarkar, Saikat; Kanto, Antti Jaakko - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 51-72
Persistent link: https://www.econbiz.de/10010347338
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A nonlinear model of asset returns with multiple shocks
Kahra, Hannu; Martin, Vance; Sarkar, Saikat - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10012054867