English, Article, Journal or magazine article edition: Threshold Random Walks in the U.S. Stock Market Zisimos Koustas; Jean-Francois Lamarche; Apostolos Serletis

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Threshold Random Walks in the U.S. Stock Market
Author
  • Zisimos Koustas
  • Jean-Francois Lamarche
  • Apostolos Serletis
Physical Description
  • preprint
Notes
  • This paper extends the work in Serletis and Shintani (2003) and Elder and Serletis ( 2006) by re-examining the empirical evidence for random walk type behavior in the U.S. stock market. In doing so, it tests the random walk hypothesis by employing unit-root tests that are designed to have more statistical power against nonlinear al- ternatives. The nonlinear feature of our model is re ected by three regimes, one of which is characterized by a unit root process and the random walk hypothesis while the lower and upper regimes are well captured by a stationary autoregressive process with mean reversion and predictability.
  • Asymmetric time series; Threshold adjustment; Nonlinear autoregression Autoregression
  • RePEc:brk:wpaper:0602
Language
  • English
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