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Nonlinear Autoregressive Model...
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Capital income
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Gil-Alaña, Luis A.
29
Caporale, Guglielmo Maria
27
Gupta, Rangan
25
Bollerslev, Tim
24
Lux, Thomas
22
McAleer, Michael
16
Tauchen, George Eugene
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Andersen, Torben
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McMillan, David G.
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Chang, Chia-Lin
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Koopman, Siem Jan
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Lucas, André
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Guidolin, Massimo
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Pierdzioch, Christian
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Prokopczuk, Marcel
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Cheema, Muhammad A.
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Engle, Robert F.
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Pesaran, M. Hashem
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Sibbertsen, Philipp
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Teräsvirta, Timo
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Asai, Manabu
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Caporin, Massimiliano
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Li, Youwei
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Sizova, Natalia
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Timmermann, Allan
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Yamagata, Takashi
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Harvey, Campbell R.
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Li, Jia
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Lo, Andrew W.
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Opschoor, Anne
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Tiwari, Aviral Kumar
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Todorov, Viktor
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Vries, Casper G. de
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Bekaert, Geert
7
Diebold, Francis X.
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Floros, Christos
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Ma, Feng
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Journal of empirical finance
49
Journal of econometrics
43
Finance research letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
40
International journal of forecasting
30
International review of economics & finance : IREF
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International review of financial analysis
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Economic modelling
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Applied economics
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Discussion paper / Tinbergen Institute
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Economics letters
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Journal of banking & finance
21
Journal of financial economics
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics letters
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Energy economics
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Journal of international financial markets, institutions & money
17
The European journal of finance
17
Applied financial economics
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NBER working paper series
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The journal of finance : the journal of the American Finance Association
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Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Research in international business and finance
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Working paper / National Bureau of Economic Research, Inc.
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Journal of risk and financial management : JRFM
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Review of quantitative finance and accounting
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Pacific-Basin finance journal
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Quantitative finance
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CESifo working papers
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CREATES research paper
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The review of financial studies
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NBER Working Paper
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
2,158
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1
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
Saved in:
2
Time series mean level and stochastic volatility modeling by smooth transition autoregressions : a Bayesian approach
Lopes, Hedibert Freitas
;
Salazar, Esther
-
2006
Persistent link: https://www.econbiz.de/10003350097
Saved in:
3
Robustness of alternative non-linearity tests for SETAR models
Chan, Wai-Sum
;
Ng, Man-wai
- In:
Journal of forecasting
23
(
2004
)
3
,
pp. 215-231
Persistent link: https://www.econbiz.de/10002027376
Saved in:
4
Portmanteau tests for linearity of stationary time series
Psaradakis, Zacharias G.
;
Vávra, Marián
-
2015
Persistent link: https://www.econbiz.de/10011350561
Saved in:
5
Portmanteau tests for linearity of stationary time series
Psaradakis, Zacharias G.
;
Vávra, Marián
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 248-262
Persistent link: https://www.econbiz.de/10012180732
Saved in:
6
Threshold non-linear dynamics between Hang Seng stock index and futures returns
Chung, Hon-lun
;
Chan, Wai-Sum
;
Batten, Jonathan A.
- In:
The European journal of finance
17
(
2011
)
7/8
,
pp. 471-486
Persistent link: https://www.econbiz.de/10009509864
Saved in:
7
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
Saved in:
8
Technical trading rules for nonlinear dynamics of stock returns : evidence from the G-7 stock markets
Choe, Kwang-il
;
Krausz, Joshua
;
Nam, Kiseok
- In:
Review of quantitative finance and accounting
36
(
2011
)
3
,
pp. 323-353
Persistent link: https://www.econbiz.de/10009272482
Saved in:
9
Non-linear in stock index returns : the volatility and serial correlation relationship
Venetis, Ioannis A.
;
Peel, David
- In:
Economic modelling
22
(
2005
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10002561649
Saved in:
10
The effects of stock returns on consumption : evidence from nonlinearities
Kim, Sei-Wan
- In:
Economic papers
9
(
2006
)
1
,
pp. 32-45
Persistent link: https://www.econbiz.de/10003361937
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