Nonlinearity and Mutual Fund Returns : A Tar Approach

The starting point in this research in the analysis of dynamic and structure of assets of investment funds in particular types of funds (assets, hybrids, money market funds, stable growth funds). Analyzing time series of assets of funds the tendency of growth can be noticed. The tendency is non-linear and time – breaks are found. Additionally asymmetry in series suggest that linear models should not be applied. One of the tools that can be used in order to describe the series with asymmetry is the TAR model.In the paper TAR and MTAR models (around different attractors) where used and the method of consistent threshold estimation