Search Results - subject:"Threshold Autoregression"

Asymmetric wealth effect between US stock markets and US housing market and European stock markets : evidences from TAR and MTAR

Coelho, Pedro Pacheco; Gomes, Luís; Ramos, Patrícia - In: Risks : open access journal 11 (2023) 7, pp. 1-14

Autoregression model as well as the Momentum Threshold Autoregression model were calculated by combining the US Freddie, DJIA, and … European stock markets, given the international relevance of these exchanges. Using data from 1989:Q1 to 2020:Q2, the Threshold …

Persistent link: https://www.econbiz.de/10014340266

Examining spatial market efficiency under different marketing regulations : the case of Turkish lemon markets

Taştan, Hüseyin; Köprücü, Yılmaz - In: Agricultural economics : the journal of the … 54 (2023) 5, pp. 709-727

Persistent link: https://www.econbiz.de/10014432228

Common currency and intra-regional trade in the Central African Monetary Community (CEMAC)

Kangami, Divine Ngenyeh; Akinkugbe, Oluyele F. - In: Journal of African Trade 8 (2021) 1, pp. 13-22

We applied the threshold autoregressive and difference-in-differences techniques to examine the effects of adopting a common currency on bilateral trade flows between member states of the Central African Economic and Monetary Community (CEMAC) customs union, over the period from 1980 to 2013. We...

Persistent link: https://www.econbiz.de/10013470704

Coffee price dynamics : an analysis of the retail-international price margin

Ghoshray, Atanu; Mohan, Sushil - In: European review of agricultural economics 48 (2021) 4, pp. 983-1006

Persistent link: https://www.econbiz.de/10012618818

Common currency and intra-regional trade in the Central African Monetary Community (CEMAC)

Kangami, Divine Ngenyeh; Akinkugbe, Oluyele F. - In: Journal of African trade : official journal of the … 8 (2021) 1, pp. 13-22

Persistent link: https://www.econbiz.de/10012805539

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

Threshold effects and unit roots of real commodity prices since the mid-nineteenth century

Clavijo-Cortes, Pedro; Campo Robledo, Jacobo; Mendoza … - In: Economics and Business Letters : EBL 9 (2020) 4, pp. 342-349

Persistent link: https://www.econbiz.de/10012424195

Export-output growth nexus using threshold VAR and VEC models: Empirical evidence from Thailand

Liu, Jianxu - In: Economies 7 (2019) 2, pp. 1-16

This paper explores the relationship between export, import, and output for Thailand over the period from 1990 to 2017. The threshold vector autoregressive (VAR) and threshold vector error correction (VEC) models were applied. The empirical evidence confirms that the export-led growth hypothesis...

Persistent link: https://www.econbiz.de/10013199572

Some dynamic and steady-state properties of threshold autoregressions with applications to stationarity and local explosivity

Ahmed, Muhammad Farid; Satchell, Stephen - 2019 - This version: February 21, 2019

Persistent link: https://www.econbiz.de/10012698700