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Timing of tick size reduction : threshold and smooth transition model analysis
Tabata, Tomoaki - In: Finance research letters 45 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014576141
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Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613
Persistent link: https://www.econbiz.de/10011485602
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Examination of the predictability of BDI and VIX : a threshold approach
Bildirici, Melike; Ersin, Özgür Ömer; Onat, Işil Şahin - In: International journal of transport economics : IJTE 46 (2019) 3, pp. 9-28
Persistent link: https://www.econbiz.de/10012136039
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Effect of monetary policy on the Nigerian stock market : a smooth transition autoregressive approach
Babangida, Jamilu S.; Khan, Asad ul Islam - In: CBN journal of applied statistics 12 (2021) 1, pp. 1-21
This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study...
Persistent link: https://www.econbiz.de/10012604392
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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …
Persistent link: https://www.econbiz.de/10011862130
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Applications of methods and algorithms of nonlinear dynamics in economics and finance
Soofi, Abdollah S.; Galka, Andreas; Li, Zhe; Zhang, Yuqin; … - In: Complexity in economics : cutting edge research, (pp. 1-30). 2014
Persistent link: https://www.econbiz.de/10011500824
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Are there nonlinearities in the interaction of equity and real estate markets?
Posedel Šimović, Petra; Tkalec, Marina; Vizek, Maruška - In: The empirical economics letters : a monthly … 13 (2014) 10, pp. 1083-1090
Persistent link: https://www.econbiz.de/10010527313
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Application of feed-forward neural networks smoothing transition autoregressive models in stock returns forecasting
Giovanis, Eleftherios - In: Computational optimization in economics and finance …, (pp. 27-47). 2013
Persistent link: https://www.econbiz.de/10009734441
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Application of Feed-Forward Neural Networks Smoothing Transition Autoregressive Models in Stock Returns Forecasting
Giovanis, Eleftherios - 2010
In this paper we propose and examine new approaches in smoothing transition autoregressive (STAR) models. Firstly, a new STAR function is proposed, which is the hyperbolic tangent sigmoid function. Secondly, we propose Feed-Forward Neural Networks Smoothing Transition Autoregressive (FFNN-STAR)...
Persistent link: https://www.econbiz.de/10013138095