Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model
By Cathy W. S. Chen, T. C. Chiang, Mike K. P. So. 2003
123 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/e73f0c5ad035c268094d45bef4018193af4758de
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Fotios Petropoulos
- Konstantinos Nikolopoulos
- Rob J Hyndman
- Nikolaos Kourentzes
- Vassilios Assimakopoulos
- Evangelos Spiliotis
- Spyros Makridakis
- Christoph Bergmeir
In Finance
- David F. Hendry
- David E. Rapach
- Michael P. Clements
- Jennifer L. Castle
- Feng Li
- Xiaoqian Wang
- Yanfei Kang
- Allan G. Timmermann
Citations in the corpus
- Forecasting: theory and practice (2020, background): “enous or can be a lagged value of the dependent variable. In the latter case, we speak of self-exciting threshold autoregressive (SETAR) models. Other choices of q t include linear (see, for example, Chen et al., 2003; Chen and So, 2006; Gerlach et al., 2006) or non-linear (see, for example, Chen, 1”