Threshold autoregressive and Markov switching models: Allow us to potentially capture regime switches in a dependent variable Forecast correlations of two distinct series Maximise the threshold of autoregressive models 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: 11eada31_536f_30c5_bc68_7f60a906b3d0_TB7071_00 Their results were: 11eada31_536f_57d6_bc68_73b6d057c52c_TB7071_00 See Answer Allow us to potentially capture regime switches in a dependent variable

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