Threshold convergence between the federal fund rate and South African equity returns around the colocation period
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- Andrew Phiri, 2017. "Threshold convergence between the federal fund rate and South African equity returns around the colocation period," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(1), pages 1-9, March.
- Andrew Phiri, 2017. "Threshold convergence between the federal fund rate and South African equity returns around the colocation period," Post-Print halshs-01861727, HAL.
- Andrew Phiri, 2017. "Threshold convergence between the Federal fund rate and South African equity returns around the colocation period," Working Papers 1710, Department of Economics, Nelson Mandela University, revised Aug 2017.
- Phiri, Andrew, 2017. "Threshold convergence between the federal fund rate and South African equity returns around the colocation period," MPRA Paper 76039, University Library of Munich, Germany.
References listed on IDEAS
- Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
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More about this item
KeywordsFinancial Economics; Risk and Uncertainty;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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