THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1

DOI10.1111/j.1467-9965.1994.tb00058.xzbMath0884.90066MaRDI QIDQ4372035

Peter F. Pope, Krishna Paudyal, Pradeep Kumar Yadav

Publication date: 5 April 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1994.tb00058.x

zbMATH Keywords

cointegration; autoregressive; arbitrage; threshold; SETAR

Mathematics Subject Classification ID

91B84: Economic time series analysis

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Cites Work

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• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Testing and Modeling Threshold Autoregressive Processes
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