Liu, Tengdong; Hammoudeh, Shawkat; Thompson, Mark A. - In: Journal of International Financial Markets, … 27 (2013) C, pp. 99-112
We develop a multivariate momentum threshold autoregression (MTAR) model that examines the relationship between stock markets for each of the five BRICS countries – Brazil, Russia, India, China and South Africa – and changes in their economic, financial and political country risk ratings in...