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Is non-linearity a permanent feature? Evidence from recursive and rolling estimation

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  • David G. McMillan
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    Abstract

    Using recursive and rolling estimation evidence is reported that STAR non-linearity is ever present within the DJIA. Further, the parameters of interest exhibit some temporal dependence. These results suggest that non-linearity is a regular feature of the data that should be modelled and used in forecasting, although variation in parameter values may need to be incorporated.

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    Bibliographic Info

    Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

    Volume (Year): 1 (2005)
    Issue (Month): 4 (July)
    Pages: 229-232

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    Handle: RePEc:taf:apfelt:v:1:y:2005:i:4:p:229-232

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    1. Martens, M. & Kofman, P. & Vorst, T.C.F., 1995. "A Threshold Error Correction Model for Intraday Futures and Index Returns," Monash Econometrics and Business Statistics Working Papers 14/95, Monash University, Department of Econometrics and Business Statistics.
    2. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
    3. Ritter, Jay R., 2003. "Behavioral finance," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 429-437, September.
    4. Leung, Mark T. & Daouk, Hazem & Chen, An-Sing, 2000. "Forecasting stock indices: a comparison of classification and level estimation models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 173-190.
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