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Some new results for threshold AR(1) models
Knight, John L.; Satchell, Stephen - In: Journal of time series econometrics 3 (2011) 2, pp. 1-40
Persistent link: https://www.econbiz.de/10009623571
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Modeling style rotation : switching and re-switching
Golosov, Edward; Satchell, Stephen - In: Journal of time series econometrics 6 (2014) 2, pp. 103-128
Persistent link: https://www.econbiz.de/10010401130
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What proportion of time is a particular market inefficient? : a method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
Ahmed, Muhammad Farid; Satchell, Stephen - In: Journal of time series econometrics 10 (2018) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10011898000