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

Paresh Kumar Narayan2006

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

Paresh Kumar Narayan

51 citations·0/0 files stored·Mathematics and Computers in Simulation

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1988Dividend yields and expected stock returns 1988Permanent and Temporary Components of Stock Prices 1988Mean reversion in stock prices 1987Mean Reversion in Stock Prices: Evidence and Implications 1996Mean Reversion in Stock Prices 1959Brownian Motion in the Stock Market

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2008Energy prices, multiple structural breaks, and efficient market hypothesis 2019Time-varying energy and stock market integration in Asia 2007Do shocks to G7 stock prices have a permanent effect?2020Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?2007Mean reversion in stock prices: new evidence from panel unit root tests 2015Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach

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Year2006

Typearticle

Published2006-01-07

VenueMathematics and Computers in Simulation

ISSN-L0378-4754

Languageen

Citations51

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.matcom.2005.11.016

openalex_workW2072453178

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2007Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests