This paper uses the momentum threshold autoregressive (MTAR) model and the residuals-augmented Dickey-Fuller (RADF) test to examine the possibility of Evans' (1991) periodically collapsing bubbles in the equity REIT market. The results are mixed. The MTAR model indicates that overall real equity...

This study uses the Markov chain model to examine the behavior of 189 initial public offerings on the Istanbul Stock Exchange (ISE) over the 1990-1999 periods. The non-linear estimation results suggest that Turkish IPOs do not follow a random walk but may instead follow a first-order Markov...

This paper examines how price shocks in antebellum slave markets were transmitted to surrounding slave markets. A newly developed time series econometric technique is utilized to estimate the transmission of price shocks among slave markets and to investigate the univariate and multivariate time...