Using recursive and rolling estimation evidence is reported that STAR non-linearity is ever present within the DJIA. Further, the parameters of interest exhibit some temporal dependence. These results suggest that non-linearity is a regular feature of the data that should be modelled and used in...

Using a threshold-error-correction model for non-ferrous metals spot-futures prices the study reports evidence that equilibrium adjustment is quicker when the futures price exceeds the spot price. This supports the view that the commodities consumption value leads investors to retain the asset...