SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The behaviour of US stock prices: Evidence from a threshold autoregressive model
16 references·9 citing·40 second hop
The behaviour of US stock prices: Evidence from a threshold autoregressive model (2006)The behaviour of US stock prices: Evidenc…Random walk versus breaking trend in stock prices: Evidence from emerging markets (2003)Random walk versus breaking t…Threshold Autoregression with a Unit Root (2001)Threshold Autoregression with…Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence (2001)Nonlinearities, cyclical beha…Nonlinear Predictability of Stock Returns Using Financial and Economic Variables (1999)Nonlinear Predictability of S…Uncovering Nonlinear Structure In Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100 (1997)Uncovering Nonlinear Structur…Regime switching in stock market returns (1997)Regime switching in stock mar…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesTESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS (1995)TESTS OF RANDOM WALK AND MARK…Nonlinear dynamics, chaos, and instability (1993)Nonlinear dynamics, chaos, an…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesDividend yields and expected stock returns (1988)Dividend yields and expected …Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter? (2020)Nonlinearity in stock returns…Time-varying energy and stock market integration in Asia (2019)Time-varying energy and stock…Do Stock Markets Follow a Random Walk? New Evidence for an Old Question (2018)Do Stock Markets Follow a Ran…Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach (2015)Linkages Between the US and E…Energy prices, multiple structural breaks, and efficient market hypothesis (2008)Energy prices, multiple struc…Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests (2007)Nonlinear behaviour of the Ch…Mean reversion in stock prices: new evidence from panel unit root tests (2007)Mean reversion in stock price…Do shocks to G7 stock prices have a permanent effect? (2007)Do shocks to G7 stock prices …A threshold cointegration test with increased power (2006)A threshold cointegration tes…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Efficient Capital Markets: II (1991)Critical market crashes (2003)Allowance price drivers in the first phase of the EU ETS (2009)Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment (2010)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Common risk factors in the returns on stocks and bonds (1993)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS (2006)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Threshold autoregression in economics (2011)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Portfolio Analysis in a Stable Paretian Market (1965)On the Distribution of Stock Price Differences (1967)Rational Theory of Warrant Pricing (2015)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)The use of technical analysis in the foreign exchange market (1992)Herd Behaviour, Bubbles and Crashes (1995)
this work references cited by second hop

References

  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 2001Threshold Autoregression with a Unit Root707 cited
  • 1997Regime switching in stock market returns335 cited
  • 1995TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS288 cited
  • 2003Random walk versus breaking trend in stock prices: Evidence from emerging markets276 cited
  • 1993Nonlinear dynamics, chaos, and instability188 cited
  • 1997Uncovering Nonlinear Structure In Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100187 cited
  • 2001Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence176 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1999Nonlinear Predictability of Stock Returns Using Financial and Economic Variables175 cited
  • Cited by

    • 2008Energy prices, multiple structural breaks, and efficient market hypothesis92 cited
    • 2019Time-varying energy and stock market integration in Asia76 cited
    • 2007Do shocks to G7 stock prices have a permanent effect?48 cited
    • 2020Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?41 cited
    • 2007Mean reversion in stock prices: new evidence from panel unit root tests36 cited
    • 2015Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach29 cited
    • 2007Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests27 cited
    • 2018Do Stock Markets Follow a Random Walk? New Evidence for an Old Question25 cited
    • 2006A threshold cointegration test with increased power13 cited