Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10481325 | Physica A: Statistical Mechanics and its Applications | 2012 | 11 Pages |
Abstract
⺠The results show a significant structural break in 1998 for all model specifications and data periodicity. ⺠We do not find evidence of asymmetric adjustment of prices to dividends when using M-TAR and TAR models. ⺠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
J. Cuñado, L.A. Gil-Alana, F. Perez de Gracia,