Chong and Ng (2008) find that the Moving Average Convergence-Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London stock exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is...

This paper revisits the income convergence hypothesis by using the nonlinear unit root test of Kapetanios et al. [Kapetanios, G., Shin, Y. and A. Snell, 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359-379.]. Out of the 12 OECD income gaps in which...

We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus,...

We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus,...

Utilizing the formal linearity test of Luukkonen, Saikkonen and Terasvirta (Biometrika, 75, 491-499, 1998) as diagnostic tool, the empirical finding suggests that the linear autoregressive (AR) model is inadequate in describing the real exchange rates behaviour of 11 Asian economies. It is noted...

Chong and Ng (2008) find that the Moving Average Convergence–Divergence (<i>MACD</i>) and Relative Strength Index (<i>RSI</i>) rules can generate excess return in the London Stock Exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is...