Search Results - subject:"Threshold Autoregressive"

Efficient Market Hypothesis in South Africa: Evidence from a threshold autoregressive (TAR) model

Van Heerden, Dorathea; Rodrigues, Jose; Hockly, Dale; … - Volkswirtschaftliche Fakultät, … - 2013

) for the Johannesburg Stock Exchange (JSE) between the periods 2001:01 to 2013:07. By making use of a threshold … autoregressive (TAR) model and corresponding asymmetric unit root tests, our study demonstrates how the stock market indexes evolve …

Persistent link: https://www.econbiz.de/10011110409

Analysis of Effectiveness of Modern Information and Communication Technologies on Maize Marketing Efficiency in Selected Markets of Malawi

Tione, S. E.; Katengeza, Samson P.; Mangisoni, Julius H. - African Association of Agricultural Economists - AAAE - 2013

. Considering that efficient markets are integrated markets when price difference is only a factor of transaction costs, Threshold … Autoregressive Error Correction (TAR) model assessed price transmission speed in pre – ICT and post – ICT periods in order to analyse …

Persistent link: https://www.econbiz.de/10011207640

Nonlinear Behavior of the US Stock Price-Dividend: Evidence from Threshold Unit Root Tests

Cheng, Shu-Ching; Wu, Tsung-Pao - In: Journal for Economic Forecasting (2013) 4, pp. 82-93

a two-regime Threshold Autoregressive (TAR) model with an autoregressive unit root developed by Caner and Hansen (2001 …

Persistent link: https://www.econbiz.de/10010734650

The Effect of Non-Linearity Between Credit Conditions and Economic Activity on Density Forecasts

Franta, Michal - Česká Národní Banka - 2013

This paper examines the effect of non-linearities on density forecasting. It focuses on the relationship between credit markets and the rest of the economy. The possible non-linearity of this relationship is captured by a threshold vector autoregressive model estimated on the US data using...

Persistent link: https://www.econbiz.de/10010833288

Threshold autoregressive models for interval-valued time series data

Sun, Yuying; Han, Ai; Hong, Yongmiao; Wang, Shouyang - In: Journal of econometrics 206 (2018) 2, pp. 414-446

Persistent link: https://www.econbiz.de/10012110403

Inflation rate of 14-16 % is fair for the sub-Saharan African dollarization

Raheem, Ibrahim D. - In: Journal of economics and finance 42 (2018) 4, pp. 779-794

Persistent link: https://www.econbiz.de/10012031146

Assessing international financial integration : do industry and firm-specific characteristics matter?, evidence from the Japanese market

Chen, Mei-Ping; Chung, Dai-Tzung; Lin, Yu-Hui - In: Economic research 31 (2018) 1,1, pp. 860-879

Persistent link: https://www.econbiz.de/10012486616

Theory and Applications of TAR Model with Two Threshold Variables

Chen, Haiqiang; Chong, Terence Tai Leung; Bai, Jushan - Volkswirtschaftliche Fakultät, … - 2012

, models with two or more threshold variables are needed. This paper develops a new threshold autoregressive model which …

Persistent link: https://www.econbiz.de/10011110503

Jointly testing linearity and nonstationarity within threshold autoregressions

Pitarakis, Jean-Yves - Volkswirtschaftliche Fakultät, … - 2012

We develop a test of the joint null hypothesis of linearity and nonstationarity within a threshold autoregressive …

Persistent link: https://www.econbiz.de/10011112145

Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation

Chen, Jinzhao - HAL - 2012

-regime threshold autoregressive model to study the Renminbi yield differential between the onshore interest rate and its non …

Persistent link: https://www.econbiz.de/10010738729