Modelling nonlinearities in equity returns: the mean impact curve analysis

Vance L Martin; Saikat Sarkar; Antti Jaakko Kanto

doi:10.1515/snde-2012-0030

Modelling nonlinearities in equity returns: the mean impact curve analysis

Vance L Martin, Saikat Sarkar, Antti Jaakko Kanto

Research output: Contribution to journal › Article › Scientific › peer-review

2 Citations (Scopus)

Original language	English
Pages (from-to)	51-72
Journal	Studies in Nonlinear Dynamics & Econometrics
Volume	18
Issue number	1
DOIs	https://doi.org/10.1515/snde-2012-0030
Publication status	Published - 2014
Publication type	A1 Journal article-refereed

Keywords

Asymmetry
news impact curve
nonlinear mean reversion and aversion

Publication forum classification

Publication forum level 1

Access to Document

10.1515/snde-2012-0030

Cite this

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title = "Modelling nonlinearities in equity returns: the mean impact curve analysis",

keywords = "Asymmetry, news impact curve, nonlinear mean reversion and aversion, Asymmetry, news impact curve, nonlinear mean reversion and aversion",

author = "Martin, {Vance L} and Saikat Sarkar and Kanto, {Antti Jaakko}",

year = "2014",

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language = "English",

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pages = "51--72",

number = "1",

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AU - Martin, Vance L

AU - Sarkar, Saikat

AU - Kanto, Antti Jaakko

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Y1 - 2014

KW - Asymmetry

KW - news impact curve

KW - nonlinear mean reversion and aversion

KW - Asymmetry

KW - news impact curve

KW - nonlinear mean reversion and aversion

U2 - 10.1515/snde-2012-0030

DO - 10.1515/snde-2012-0030

M3 - Article

SN - 1081-1826

VL - 18

SP - 51

EP - 72

JO - Studies in Nonlinear Dynamics & Econometrics

JF - Studies in Nonlinear Dynamics & Econometrics

IS - 1

ER -