A nonlinear model of asset returns with multiple shocks

DOI10.1515/SNDE-2017-0064OpenAlexW2884786062MaRDI QIDQ2697021

Saikat Sarkar, Hannu Kahra, Vance L. Martin

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2017-0064

zbMATH Keywords

testingshock spilloversmultivariate mean impact surface

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Nonlinearity tests for time series
• Testing linearity against smooth transition autoregressive models
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• An Intertemporal Capital Asset Pricing Model
• A New Class of Tests of Contagion With Applications
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• Common risk factors in the returns on stocks and bonds

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