Nonlinear predictability of short-run deviations in UK stock market returns

Economics Letters

Volumn 84, Issue 2, 2004, Pages 149-154

  McMillan, David G ^a  

^a UNIVERSITY OF ABERDEEN   (United Kingdom)

Author keywords

Error correction; Exponential smooth transition threshold model; Stock market returns

Indexed keywords

EID: 3042688736     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2003.10.014     Document Type: Article

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