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Are there nonlinearities in the interaction of equity and real estate markets?

Posedel Šimović, Petra; Tkalec, Marina; Vizek, Maruška - In: The empirical economics letters : a monthly … 13 (2014) 10, pp. 1083-1090

Persistent link: https://www.econbiz.de/10010527313

Effect of monetary policy on the Nigerian stock market : a smooth transition autoregressive approach

Babangida, Jamilu S.; Khan, Asad ul Islam - In: CBN journal of applied statistics 12 (2021) 1, pp. 1-21

This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study...

Persistent link: https://www.econbiz.de/10012604392

Non-linear in stock index returns : the volatility and serial correlation relationship

Venetis, Ioannis A.; Peel, David - In: Economic modelling 22 (2005) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10002561649

Threshold non-linear dynamics between Hang Seng stock index and futures returns

Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486

Persistent link: https://www.econbiz.de/10009509864

A regime-switching model of stock returns with momentum and mean reversion

Giner, Javier; Zakamulin, Valeriy - In: Economic modelling 122 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014388630

Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns

Dittmar, Robert F. - In: The journal of finance : the journal of the American … 57 (2002) 1, pp. 369-403

Persistent link: https://www.econbiz.de/10001650384

The non-linear trade-off between return and risk : a regime-switching multi-factor framework

Cotter, John; Salvador, Enrique - 2014

Persistent link: https://www.econbiz.de/10010465672

Nonlinearities and tests of asset price bubbles

Arora, Vipin; Shi, Shuping - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1421-1433

Persistent link: https://www.econbiz.de/10011481717

Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model

Jawadi, Fredj; Louhichi, Wael; Cheffou, Abdoulkarim Idi; … - In: Decision making and risk/return optimization in …, (pp. 275-295). 2019

Persistent link: https://www.econbiz.de/10012134816

Nonlinear asset pricing in Chinese stock market : a deep learning approach

Pan, Shuiyang; Long, Suwan; Wang, Yiming; Xie, Ying - In: International review of financial analysis 87 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014460620

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