most citedNonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

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q-fin.ST2007★ 27 cited

Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

Xi-Yuan Qian, Fu-Tie Song, Wei-Xing Zhou

We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive…