برچسب: Speight-Nonlinear
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Mcmillan And Speight-Nonlinear Dynamics In High Frequency Intra-Day Financial Data
Tests against the null of linearity indicate smooth transition autoregressive nonlinearities in the conditional mean of intra-day UK long gilt futures returns at the five and fifteen minute frequencies. The higher frequency model entails a first-order autoregressive process with switching intercept. The lower frequency model is first-order autoregressive for returns near zero, but a near […]