Article ID Journal Published Year Pages File Type
10481325 Physica A: Statistical Mechanics and its Applications 2012 11 Pages PDF
Abstract
► The results show a significant structural break in 1998 for all model specifications and data periodicity. ► We do not find evidence of asymmetric adjustment of prices to dividends when using M-TAR and TAR models. ► The evidence of bubbles varies depending on the data periodicity and model specification used in the analysis.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Authors
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