极大痛苦 发表于 2025-3-25 04:25:54
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Nonlinear Persistence and Copersistencenonlinear comovements were unveiled, such as the Phillips curve, and the purchasing power parity. In contrast, the econometric analysis of long-term relationships is much more recent, and has been conducted mainly in the linear framework. This is the case of the cointegration theory for nonstationarinsurrection 发表于 2025-3-25 13:42:10
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An Explanation for Persistence in Share Prices and their Associated Returns of returns, could be described by a fractionally integrated process. Inparticular, Bond andDyson (2007) looked at the time domain behavior of individual share price series and found that there was strong evidence that many of the main shares in the Financial Times Stock Exchange 100 Share index (FTCUMB 发表于 2025-3-25 21:20:49
Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data, investors, fund managers and policymakers as it is central to asset pricing, risk management and policy transmission. Indeed, most of these financial decisions are actually made in an international context and based mechanically on the knowledge of the risk-return trade-off that in turn depends la沐浴 发表于 2025-3-26 01:08:31
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Nonlinear Persistence and Copersistencee, 1992; Engle and Kozicki, 1993; Kugler and Neusser, 1993). Under both approaches, the dynamics of the time series of interest (i.e. VAR model) as well as their long-term relationships are assumed to be linear.rheumatism 发表于 2025-3-26 19:40:29
An Explanation for Persistence in Share Prices and their Associated Returnsong-memory and that investors might possibly gain from modeling the time series behavior of the shares. Bond and Dyson (2007), using recent developments in non-linear modeling did, however, raise the possibility that the observed behavior could in some cases be due non-linearities in the series.