|Appears in Collections:||Economics Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Nonlinear predictability of short-run deviations in UK stock market returns|
|Keywords:||Stock market returns|
exponential smooth transition threshold model
|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.|
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