CHONG, TERENCE TAI-LEUNG; LAM, TAU-HING; HINICH, MELVIN J. - In: Annals of Financial Economics (AFE) 05 (2009) 01, pp. 0950002-1
The rise of China in the world economy has attracted a great deal of international attention. This paper investigates the performance of nonlinear self-exciting threshold autoregressive (SETAR) model-based trading rules in the Chinese stock market. We compare the performance of the SETAR model...