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A switching model with flexible threshold variable : with an application to nonlinear dynamics in stock returns

Massacci, Daniele - In: Economics letters 119 (2013) 2, pp. 199-203

Persistent link: https://www.econbiz.de/10009745760

Testing for nonlinearity and chaos in economic time series with noise titration

Caraiani, Petre - In: Economics letters 120 (2013) 2, pp. 192-194

Persistent link: https://www.econbiz.de/10010127780

Specification tests for nonlinear dynamic models

Kheifets, Igor L. - In: The econometrics journal 18 (2015) 1, pp. 67-94

Persistent link: https://www.econbiz.de/10011345998

A Switching Model with Flexible Threshold Variable : With an Application to Nonlinear Dynamics in Stock Returns

Massacci, Daniele - 2017

This paper proposes an extension to threshold-type switching models that lets the threshold variable be a linear combination of exogenous variables with unknown coefficients. An algorithm to estimate the model's parameters by least squares is provided and the validity of the methodological...

Persistent link: https://www.econbiz.de/10012974826

Assessing pre-crisis fundamentals in selected Asian stock markets

Lau, Ee Leng; Tan, K. Randolph; Rahman, Shahidur - In: The Singapore economic review : journal of the Economic … 50 (2005) 2, pp. 175-196

Persistent link: https://www.econbiz.de/10003203691

Price bubbles spillover among asset markets : evidence from Iran

Rasekhi, Saeed; Elmi, Zahra Mila; Shahrazi, Milad - In: Iranian economic review : journal of University of Tehran 20 (2016) 4, pp. 501-523

Persistent link: https://www.econbiz.de/10011589451

Estimation of aggregate and segment-specific financial cycles for a global sample of countries

Adarov, Amat - 2018

The paper reports estimation results and technical details on the estimation of financial cycles for a global sample of 34 advanced and developing countries over the period 1960Q1-2015Q4, as well as introduces a database of financial cycles. We estimate several versions of financial cycles for...

Persistent link: https://www.econbiz.de/10011847208

Analysis of bubbles and correlations in emerging bond markets

Yeh, Chun-Chieh; Chiu, Chien-Liang - In: The empirical economics letters : a monthly … 19 (2020) 11, pp. 1335-1343

Persistent link: https://www.econbiz.de/10012608078

Inferring fundamental value and crash nonlinearity from bubble calibration

Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - 2010

of new models based on the Johansen-Ledoit-Sornette (JLS) model, which is a flexible tool to detect bubbles and predict … dynamics of a crash after a bubble. We test the models using data from three historical bubbles ending in crashes from … Shanghai Composite index 2009 crash. All results suggest that the new models perform very well in describing bubbles …

Persistent link: https://www.econbiz.de/10008797688

On nonlinear, stochastic dynamics in economic and financial time series

Schittenkopf, Christian (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 4 (2000) 3, pp. 101-121

Persistent link: https://www.econbiz.de/10001773121