Biological, psychological and medical evidence widely suggests that the lunar phases may affect human behavior and mood. This suggestion motivates this study of the relationship between lunar phases and stock returns. Relevant papers indicate that lunar cycle effects do have an effect on stock...

In this article we propose a testing procedure for multivariate threshold autoregression with the disturbances following conditional homoscedastic martingale difference sequences. Essentially, the discussed test statistics are an extension of the work of Chan and Tong (1990) and Chan (1991), as...