English, Article, Journal or magazine article edition: Smooth Transition Regression Models in UK Stock Returns Nektarios Aslanidis

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Bookmark: http://trove.nla.gov.au/version/76895
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Smooth Transition Regression Models in UK Stock Returns
Author
  • Nektarios Aslanidis
Physical Description
  • preprint
Notes
  • This paper models UK stock market returns in a smooth transition regression (STR) framework. A variety of financial and macroeconomic series are employed that are assumed to influence UK stock returns, namely GDP, interest rates, inflation, money supply and US stock prices. STR models are estimated where the linearity hypothesis is strongly rejected for at least one transition variable. These non-linear models describe the in-sample movements of the stock returns series better than the corresponding linear model. Moreover, the US stock market appears to play an important role in determining the UK stock market returns regime.
  • smooth transition regression models, linearity tests, forecasting, stock returns.
  • RePEc:crt:wpaper:0201
Language
  • English
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