English, Article edition: Essay in dividend modelling and forecasting: does nonlinearity help? Fredj Jawadi

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Bookmark: http://trove.nla.gov.au/version/50214
Physical Description
  • article
Language
  • English

Edition details

Title
  • Essay in dividend modelling and forecasting: does nonlinearity help?
Author
  • Fredj Jawadi
Physical Description
  • article
Notes
  • This article develops a method of nonlinear modelling for the dividends of the Group of seven (G7) indexes using threshold techniques: Smooth Transition Autoregressive Models (STAR). First, smoothness and nonlinearity are justified by the presence of heterogeneous expectations and companies of different sizes. Then, we show that this methodology is adapted to reproduce persistence in the dividend adjustment dynamics. Finally, we highlight the superiority of STAR models compared to the linear process in modelling dividends and reducing measurement error while forecasting future dividends. STAR forecasting supplanted those of linear model in the short and medium terms.
  • RePEc:taf:apfiec:v:19:y:2009:i:16:p:1329-1343
Language
  • English
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