The behaviour of US stock prices: Evidence from a threshold autoregressive model

DOI10.1016/j.matcom.2005.11.016zbMath1134.91566OpenAlexW2072453178MaRDI QIDQ2490475

Paresh Kumar Narayan

Publication date: 16 May 2006

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2005.11.016

Mathematics Subject Classification ID

Related Items (4)

A threshold cointegration test with increased power ⋮ SETAR-Tree: a novel and accurate tree algorithm for global time series forecasting ⋮ Do shocks to G7 stock prices have a permanent effect? Evidence from panel unit root tests with structural change ⋮ Threshold autoregressive models for interval-valued time series data

Cites Work

• Do UK stock prices deviate from fundamentals?
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Threshold Autoregression with a Unit Root
• Brownian Motion in the Stock Market

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