Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25029
Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Nonlinear predictability of short-run deviations in UK stock market returns
Authors: McMillan, David
Contact Email: david.mcmillan@stir.ac.uk
Keywords: Stock market returns
exponential smooth transition threshold model
error-correction
Issue Date: Aug-2004
Citation: McMillan D (2004) Nonlinear predictability of short-run deviations in UK stock market returns, Economics Letters, 84 (2), pp. 149-154.
Abstract: Using an exponential smooth transition threshold (ESTR) error-correction model, we examine whether return dynamics in a price dividend cointegration framework differ between large and small deviations. Results support the ESTR model over a linear alternative and suggest persistent deviations from equilibrium when deviations are large.
DOI Link: http://dx.doi.org/10.1016/j.econlet.2003.10.014
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