Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 2-3, 2008, Pages 503-510

  Qian, Xi Yuan ^a,b   Song, Fu Tie ^a,b   Zhou, Wei Xing ^a,b  

^a EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Chinese stock market; Crashes; Regime change; Threshold autoregressive (TAR) model; Unit root

Indexed keywords

MARKETING; NUMERICAL METHODS; PROBLEM SOLVING; REGRESSION ANALYSIS;

CHINESE STOCK MARKETS; CRASHES; REGIME CHANGE; THRESHOLD AUTOREGRESSIVE (TAR) MODEL;

NONLINEAR ANALYSIS;

EID: 36448979240     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.09.029     Document Type: Article

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