Is non-linearity a permanent feature? Evidence from recursive and rolling estimation
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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Volume (Year): 1 (2005)
Issue (Month): 4 (July)
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"A Threshold Error Correction Model for Intraday Futures and Index Returns,"
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