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A Nonlinear Autoregressive Distributed Lag (Nardl) Analysis Of The Ftse And S&P500 Indexes, David E. Allen, Michael Mcaleer
A Nonlinear Autoregressive Distributed Lag (Nardl) Analysis Of The Ftse And S&P500 Indexes, David E. Allen, Michael Mcaleer
Research outputs 2014 to 2021
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 modelling combined short-and long-run asymmetries. The bounds testing framework adopted means that it can be applied to stationary and non-stationary time series vectors, or combinations of both. The data comprise a daily FTSE adjusted price series, commencing in April 2009 and terminating in March 2021, and a corresponding daily S&P500 Index adjusted-price series obtained …