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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25029
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dc.contributor.authorMcMillan, Daviden_UK
dc.date.accessioned2017-02-28T00:26:44Z-
dc.date.available2017-02-28T00:26:44Zen_UK
dc.date.issued2004-08en_UK
dc.identifier.urihttp://hdl.handle.net/1893/25029-
dc.description.abstractUsing 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.en_UK
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.relationMcMillan D (2004) Nonlinear predictability of short-run deviations in UK stock market returns. Economics Letters, 84 (2), pp. 149-154. https://doi.org/10.1016/j.econlet.2003.10.014en_UK
dc.rightsThe 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.en_UK
dc.rights.urihttp://www.rioxx.net/licenses/under-embargo-all-rights-reserveden_UK
dc.subjectStock market returnsen_UK
dc.subjectexponential smooth transition threshold modelen_UK
dc.subjecterror-correctionen_UK
dc.titleNonlinear predictability of short-run deviations in UK stock market returnsen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-21en_UK
dc.rights.embargoreason[1-s2.0-S0165176503003574-main.pdf] The publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.en_UK
dc.identifier.doi10.1016/j.econlet.2003.10.014en_UK
dc.citation.jtitleEconomics Lettersen_UK
dc.citation.issn0165-1765en_UK
dc.citation.volume84en_UK
dc.citation.issue2en_UK
dc.citation.spage149en_UK
dc.citation.epage154en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusVoR - Version of Recorden_UK
dc.author.emaildavid.mcmillan@stir.ac.uken_UK
dc.citation.date20/05/2004en_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.identifier.isiWOS:000222558500001en_UK
dc.identifier.scopusid2-s2.0-3042688736en_UK
dc.identifier.wtid539573en_UK
dc.contributor.orcid0000-0002-5891-4193en_UK
dc.date.accepted2003-10-21en_UK
dcterms.dateAccepted2003-10-21en_UK
dc.date.filedepositdate2017-02-27en_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionVoRen_UK
local.rioxx.authorMcMillan, David|0000-0002-5891-4193en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2999-12-21en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filename1-s2.0-S0165176503003574-main.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source0165-1765en_UK
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