Modelling nonlinearities in equity returns: the mean impact curve analysis

DOI10.1515/snde-2012-0030zbMath1283.91072OpenAlexW44757347WikidataQ110224957 ScholiaQ110224957MaRDI QIDQ5404070

Antti Jaakko Kanto, Saikat Sarkar, Vance L. Martin

Publication date: 21 March 2014

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

Full work available at URL: https://doi.org/10.1515/snde-2012-0030

zbMATH Keywords

asymmetrynews impact curvenonlinear mean reversion and aversion

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items

A nonlinear model of asset returns with multiple shocks

Cites Work

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