How does monetary policy influence capital markets? Using a threshold regression model

DOI10.1007/S10690-012-9157-9zbMath1282.91256OpenAlexW2019909386MaRDI QIDQ1945438

Ming-Hung Wu, Guan-Ru Chen

Publication date: 8 April 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-012-9157-9

zbMATH Keywords

monetary policystock indexthreshold regression model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82)

Cites Work

• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• Spurious regressions in econometrics
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Sample Splitting and Threshold Estimation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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