Tumala, Mohammed M.; Yaya, OlaOluwa S. - In: CBN Journal of Applied Statistics 06 (2015) 1, pp. 263-284
In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall...