Similar Search Results

Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns

Wollschläger, Marcel; Schäfer, Rudi - In: Journal of risk 19 (2016) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011579750

Stationary threshold vector autoregressive models

Grynkiv, Galyna; Stentoft, Lars - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-23

This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...

Persistent link: https://www.econbiz.de/10011895647

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

Testing for the efficient market hypothesis in stock prices : international evidence from nonlinear heterogeneous panels

Lee, Chien-chiang; Tsong, Ching-chuan; Lee, Cheng-feng - In: Macroeconomic dynamics 18 (2014) 4, pp. 943-958

Persistent link: https://www.econbiz.de/10010467410

The relation between overreaction in forecasts and uncertainty : a nonlinear approach

Leppin, Julian Sebastian - 2014 - This version: November 2014

account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …

Persistent link: https://www.econbiz.de/10010438928

Do financial crises matter for nonlinear exchange rate and stock market cointegration? : a heterogeneous nonlinear panel data model with PMG approach

Tabash, Mosab I.; Sheikh, Umaid A.; Matar, Ali; Ahmed, Adel - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-22

the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency … recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests …

Persistent link: https://www.econbiz.de/10013545812