Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression
We study the nonlinear autoregressive dynamics of stock index returns in seven major advanced economies (G7) and China. The quantile autoregression model (QAR) enables us to investigate the autocorrelation across the whole spectrum of return distribution, which provides more insightful conditional i...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2016-01-01
|
| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2016/1285768 |