Theory and Applications of TAR Model with Two Threshold Variables
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/07474938.2011.607100
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1. Illiquidity and stock returns: cross-section and time-series effects
2. Asset pricing and the bid-ask spread
3. Nested threshold autoregressive (NeTAR) models
4. Liquidity and Autocorrelations in Individual Stock Returns
5. Estimation of a Change Point in Multiple Regression Models
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