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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

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

Contrarians, extrapolators, and stock market momentum and reversal

Atmaz, Adem; Gulen, Huseyin; Cassella, Stefano; Ruan, … - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 5949-5984

Persistent link: https://www.econbiz.de/10015137979

Prerequisites for modeling price and return data series for the Bucharest Stock Exchange

Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126

Persistent link: https://www.econbiz.de/10010224748

Conditional variance forecasts for long-term stock returns : a preprint

Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - 2019

Persistent link: https://www.econbiz.de/10012138047

Stationary and non-stationary simultaneous switching autoregressive models with an application to financial time series

Kunitomo, Naoto; Sato, Seisho - In: The Japanese economic review : the journal of the … 50 (1999) 2, pp. 161-190

Persistent link: https://www.econbiz.de/10001470186

Time series multistep-ahead predictability estimation and ranking

Hong, X.; Billings, S. A. - In: Journal of forecasting 18 (1999) 2, pp. 139-149

Persistent link: https://www.econbiz.de/10001368237

Self-similarity of price fluctuations and market dynamics

Fujiwara, Yoshi; Fujisaka, Hirokazu - In: Empirical science of financial fluctuations : the …, (pp. [186]-194). 2002

Persistent link: https://www.econbiz.de/10001679484

Modelling realized variance when returns are serially correlated

Oomen, Roel C. A. - 2004

Persistent link: https://www.econbiz.de/10002194843

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001899970

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