THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1
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Publication:4372035
DOI10.1111/j.1467-9965.1994.tb00058.xzbMath0884.90066MaRDI QIDQ4372035
Krishna Paudyal, Pradeep Kumar Yadav, Peter F. Pope
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
91B84: Economic time series analysis
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- Some Algorithms for Linear Spline and Piecewise Multiple Linear Regression
- 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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