Search Results - subject:"Smooth Transition Autoregressive"

Determinants and dynamic interactions of trader positions in the gold futures market

Chen, Yu-Lun; Moh, Wan Shin - In: Journal of commodity markets 31 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014477760

Dissecting Tether's nonlinear dynamics during Covid-19

Maiti, Moinak; Grubisic, Zoran; Vukovic, Darko B. - In: Journal of Open Innovation: Technology, Market, and … 6 (2020) 4, pp. 1-12

estimates fairly suggest that both the threshold autoregression (TAR) and smooth transition autoregressive (STAR) models with …

Persistent link: https://www.econbiz.de/10012620470

Dissecting Tether's nonlinear dynamics during Covid-19

Maiti, Moinak; Grubisic, Zoran; Vukovic, Darko B. - In: Journal of open innovation : technology, market, and … 6 (2020) 4/161, pp. 1-12

estimates fairly suggest that both the threshold autoregression (TAR) and smooth transition autoregressive (STAR) models with …

Persistent link: https://www.econbiz.de/10012389449

Islamic equity investments and the COVID-19 pandemic

Ashraf, Dawood; Rizwan, Muhammad Suhail; Ahmad, Ghufran - In: Pacific-Basin finance journal 73 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013388959

Timing of tick size reduction : threshold and smooth transition model analysis

Maruyama, Hiroyuki; Tabata, Tomoaki - In: Finance research letters 45 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10014576141

Does non-linearity in exchange rate hold in Nigeria? : evidence from smooth transition autoregressive model

Dada, James Temitope; Olomola, Phillip Akanni; … - In: International journal of monetary economics and finance … 14 (2021) 2, pp. 152-165

Persistent link: https://www.econbiz.de/10012515399

On the power and size properties of cointegration tests in the light of high-frequency stylized facts

Krauss, Christopher; Herrmann, Klaus - In: Journal of Risk and Financial Management 10 (2017) 1, pp. 1-24

This paper establishes a selection of stylized facts for high-frequency cointegrated processes, based on one-minute-binned transaction data. A methodology is introduced to simulate cointegrated stock pairs, following none, some or all of these stylized facts. AR(1)-GARCH(1,1) and...

Persistent link: https://www.econbiz.de/10011843285

London calling : nonlinear mean reversion across national stock markets

Kim, Hyeongwoo; Kim, Jintae - 2017

Persistent link: https://www.econbiz.de/10011703213

On the power and size properties of cointegration tests in the light of high-frequency stylized facts

Krauss, Christopher; Herrmann, Klaus - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011619116

The influence of Taiwan's stock market on Bitcoin's price under Taiwan's monetary policy threshold

Yang, Lori Tzu-Yi - In: Applied economics 52 (2020) 45, pp. 4967-4975

Persistent link: https://www.econbiz.de/10012306523