A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes

The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of m...

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Bibliographic Details
Published in:Risks
Main Authors: David E. Allen, Michael McAleer
Format: Article
Language:English
Published: MDPI AG 2021-11-01
Subjects:
NARDL
bounds tests
ARDL
FTSE
asymmetries
multiplier effects
Online Access:https://www.mdpi.com/2227-9091/9/11/195

Internet

https://www.mdpi.com/2227-9091/9/11/195

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