Allen, David E.; McAleer, Michael - In: Risks : open access journal 9 (2021) 11, pp. 1-20
The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of...
