Smooth Transition Regression Models in UK Stock Returns
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- Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(1), pages 3-22.
- Corakci, Aysegul & Omay, Tolga, 2023. "Is there convergence in renewable energy deployment? Evidence from a new panel unit root test with smooth and sharp structural breaks," Renewable Energy, Elsevier, vol. 205(C), pages 648-662.
- Lucio Sarno & Giorgio Valente, 2005.
"Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376, March.
- Giorgio Valente & Lucio Sarno, 2005. "Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376.
- Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002 160, Royal Economic Society.
- Yen-Hsien Lee & Chien-Liang Chiu, 2010. "Nonlinear adjustment of short-term deviations impacts on the US real estate market," Applied Economics Letters, Taylor & Francis Journals, vol. 17(6), pages 597-603.
- Lumengo BONGA-BONGA, 2010. "Modeling Stock Returns in the South African Stock Exchange: a Nonlinear Approach," EcoMod2010 259600034, EcoMod.
- Afsin Sahin, 2019. "Loom of Symmetric Pass-Through," Economies, MDPI, vol. 7(1), pages 1-25, February.
- Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group.
- Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, December.
- Kulaksizoglu, Tamer & Kulaksizoglu, Sebnem, 2009. "The U.S. Excess Money Growth and Inflation Relation in the Long-Run: A Nonlinear Analysis," MPRA Paper 23780, University Library of Munich, Germany.
- Mei-Se Chien, 2013. "The Non-linear Ripple Effect of Housing Prices in Taiwan: A Smooth Transition Regressive Model," ERES eres2013_51, European Real Estate Society (ERES).
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2002-07-08 (Econometric Time Series)
- NEP-FIN-2002-07-08 (Finance)
- NEP-FMK-2002-07-08 (Financial Markets)
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