Similar Search Results

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2

show explicitly that for high-frequency data, this predictability is due not to microstructure effects but to arbitrage … show that predictability is driven neither by arbitrage activity nor by microstructure effects. Rather, it is a statistical … activity. Using a threshold autoregressive model that is consistent with arbitrage behavior, we show that such models imply …

Persistent link: https://www.econbiz.de/10014620847

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 2, pp. 1076-1076

Persistent link: https://www.econbiz.de/10004966123

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

Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react non-linearly...

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

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

Cyclicality and term structure of value‐at‐risk within a threshold autoregression setup

Bec, Frédérique; Gollier, Christian - 2014

Persistent link: https://www.econbiz.de/10010415730

Outliers and persistence in threshold autoregressive processes

Ahmad, Yamin; Donayre, Luiggi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 37-56

Persistent link: https://www.econbiz.de/10011431114

Managing financial risk in Chinese stock markets : option pricing and modeling under a multivariate threshold autoregression

Li, Johnny Siu-Hang; Ng, Andrew C.Y.; Chan, Wai-Sum - In: International review of economics & finance : IREF 40 (2015), pp. 217-230

Persistent link: https://www.econbiz.de/10011573584

Testing for cointegration with threshold adjustment in the presence of structural breaks

Schweikert, Karsten - 2018

In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of structural breaks in the equilibrium equation. We propose a simple procedure to simultaneously estimate the previously unknown breakpoint and test the null hypothesis of no...

Persistent link: https://www.econbiz.de/10011842010

Effects of filtering data on testing asymmetry in threshold autoregressive models

Li, Jing - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 5, pp. 549-565

Persistent link: https://www.econbiz.de/10011649160

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

The present study is on the five cryptocurrency daily mean return time series linearity dynamics during the Covid-19 period. These cryptocurrencies were chosen based on their influence on the market, primarily driven by its market capitalisation. Tether is included as the most important stable...

Persistent link: https://www.econbiz.de/10012389449