Please use this identifier to cite or link to this item:
Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Nonlinear predictability of short-run deviations in UK stock market returns
Author(s): McMillan, David
Contact Email:
Keywords: Stock market returns
exponential smooth transition threshold model
Issue Date: Aug-2004
Date Deposited: 27-Feb-2017
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: 10.1016/j.econlet.2003.10.014
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.
Licence URL(s):

Files in This Item:
File Description SizeFormat 
1-s2.0-S0165176503003574-main.pdfFulltext - Published Version77.3 kBAdobe PDFUnder Embargo until 2999-12-21    Request a copy

Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.

This item is protected by original copyright

Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

The metadata of the records in the Repository are available under the CC0 public domain dedication: No Rights Reserved

If you believe that any material held in STORRE infringes copyright, please contact providing details and we will remove the Work from public display in STORRE and investigate your claim.