Q 1

Threshold autoregressive and Markov switching models: A) Allow us to potentially capture regime switches in a dependent variable B) Forecast correlations of two distinct series C) Maximise the threshold of autoregressive models D) All of the above To check for seasonality (day-of-the-week effect) in stock returns of South Korea, Malaysia, the Philippines, Taiwan and Thailand, Brooks and Persand (2001) regress daily returns in each of these countries' stock market on five dummy variables D1 to D5 representing each day of the week i.e. D1 for Mondays, D2 for Tuesdays, D3 for Wednesdays, D4 for Thursdays and D5 for Fridays: img Their results were: img

Multiple Choice

A