A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns
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DOI: 10.1016/j.econlet.2013.02.031
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Cited by:
- Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
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"The Role of a Changing Market Environment for Credit Default Swap Pricing,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(3), pages 209-223, July.
- Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market environment for credit default swap pricing," Kiel Working Papers 1946, Kiel Institute for the World Economy (IfW Kiel).
- Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market: Environment for credit default swap pricing," HWWI Research Papers 153, Hamburg Institute of International Economics (HWWI).
- Leppin, Julia S. & Reitz, Stefan, 2014. "The Role of a Changing Market Environment for Credit Default Swap Pricing," FinMaP-Working Papers 7, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
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More about this item
Keywords
Threshold model; Flexible threshold variable; Stock returns;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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