Ryan, Geraldine - Society for Computational Economics - SCE - 2006
a nonlinear unit root. We also find evidence of a nonlinear cointegrating relationship between stock prices and … indicates that while stock prices may reflect their fundamentals in the long run, they may deviate substantially from their …Using monthly data from 1926:01 to 2003:12 for the United States, this paper examines the predictability of real stock …