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Large shocks vs. small shocks. (Or does size matter? May be so.)

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  • Gonzalo, Jesus
  • Martinez, Oscar

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  • Gonzalo, Jesus & Martinez, Oscar, 2006. "Large shocks vs. small shocks. (Or does size matter? May be so.)," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 311-347.
    • Handle: RePEc:eee:econom:v:135:y:2006:i:1-2:p:311-347
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    2. Taştan, Hüseyin, 2011. "Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry," MPRA Paper 34302, University Library of Munich, Germany.
    3. Martinez Oscar & Olmo Jose, 2012. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-39, September.
    4. Evgenidis, Anastasios & Tsagkanos, Athanasios, 2017. "Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 69-81.
    5. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
    6. Liu, Jing & Chen, Zhonglu, 2023. "How do stock prices respond to the leading economic indicators? Analysis of large and small shocks," Finance Research Letters, Elsevier, vol. 51(C).
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