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Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests

https://doi.org/10.1007/s00181-012-0627-8
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1099-1255(199603)11:2<195::aid-jae375>3.0.co;2-2openalex-snapshot
Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP
inferredcites →https://doi.org/10.1002/(sici)1099-1255(199903/04)14:2<143::aid-jae500>3.0.co;2-xopenalex-snapshot
Detecting periodically collapsing bubbles: a Markov-switching unit root test
inferredcites →https://doi.org/10.1002/jae.3950070506openalex-snapshot
The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp
inferredcites →https://doi.org/10.1007/978-3-642-51684-9openalex-snapshot
Markov-Switching Vector Autoregressions
inferredcites →https://doi.org/10.1007/s00181-003-0152-xopenalex-snapshot
Art as an investment: Short and long-term comovements in major painting markets
inferredcites →https://doi.org/10.1007/s00181-011-0502-zopenalex-snapshot
Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis
inferredcites →https://doi.org/10.1007/s10260-007-0080-6openalex-snapshot
Testing for linearity in Markov switching models: a bootstrap approach
inferredcites →https://doi.org/10.1007/s10824-005-9000-5openalex-snapshot
A Note on Financial Risk, Return and Asset Pricing in Australian Modern and Contemporary Art
inferredcites →https://doi.org/10.1007/s12197-008-9041-7openalex-snapshot
Real exchange rate, stationarity, and economic fundamentals
inferredcites →https://doi.org/10.1016/0014-2921(94)00058-8openalex-snapshot
Is art market behaviour predictable?
inferredcites →https://doi.org/10.1016/0304-3932(82)90012-5openalex-snapshot
Trends and random walks in macroeconmic time series
inferredcites →https://doi.org/10.1016/j.econlet.2005.01.009openalex-snapshot
Regime (non)stationarity in the US/UK real exchange rate
inferredcites →https://doi.org/10.1016/j.econlet.2006.06.001openalex-snapshot
Predictable non-linearities in U.S. inflation
inferredcites →https://doi.org/10.1016/j.econlet.2011.03.019openalex-snapshot
Markov-switching models and the unit root hypothesis in real US GDP
inferredcites →https://doi.org/10.1016/j.econmod.2006.07.001openalex-snapshot
Inflation regimes in the US term structure of interest rates
inferredcites →https://doi.org/10.1016/j.jedc.2003.07.002openalex-snapshot
Markov-switching stochastic trends and economic fluctuations
inferredcites →https://doi.org/10.1016/j.ribaf.2007.07.001openalex-snapshot
Regime-switching volatility of six East Asian emerging markets
inferredcites →https://doi.org/10.1080/00036840500428088openalex-snapshot
Volatility states and international diversification of international stock markets
inferredcites →https://doi.org/10.1080/00036840600707019openalex-snapshot
Wealth, volume and stock market volatility: case of Hong Kong (1993–2001)
inferredcites →https://doi.org/10.1080/00401706.1997.10485448openalex-snapshot
Time Series Analysis
inferredcites →https://doi.org/10.1080/01621459.1979.10482531openalex-snapshot
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
inferredcites →https://doi.org/10.1080/07350015.1992.10509904openalex-snapshot
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
inferredcites →https://doi.org/10.1080/09603100903018737openalex-snapshot
An analysis of the price dynamics between the Turkish and the international paintings markets
inferredcites →https://doi.org/10.1080/096031097333745openalex-snapshot
Regime switching in stock market returns
inferredcites →https://doi.org/10.1080/1350485042000203805openalex-snapshot
Telephone versus Internet samples for a national advisory referendum: are the underlying stated preferences the same?
inferredcites →https://doi.org/10.1080/1350485042000236539openalex-snapshot
Estimating value-at-risk via Markov switching ARCH models – an empirical study on stock index returns
inferredcites →https://doi.org/10.1093/biomet/74.1.33openalex-snapshot
Hypothesis testing when a nuisance parameter is present only under the alternative
inferredcites →https://doi.org/10.1093/oep/gpn020openalex-snapshot
Paintings and numbers: an econometric investigation of sales rates, prices, and returns in Latin American art auctions
inferredcites →https://doi.org/10.1111/1368-423x.11004openalex-snapshot
A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
inferredcites →https://doi.org/10.1111/1468-0262.00256openalex-snapshot
LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
inferredcites →https://doi.org/10.1111/j.0008-4085.2003.00241.xopenalex-snapshot
Asset pricing theory and the valuation of Canadian paintings
inferredcites →https://doi.org/10.1111/j.1467-629x.2004.00108.xopenalex-snapshot
Art as an investment: risk, return and portfolio diversification in major painting markets
inferredcites →https://doi.org/10.1111/j.1468-0262.2007.00809.xopenalex-snapshot
Testing for Regime Switching
inferredcites →https://doi.org/10.1162/003465303772815961openalex-snapshot
Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks
inferredcites →https://doi.org/10.1162/003465397556791openalex-snapshot
Multiple Trend Breaks and the Unit-Root Hypothesis
inferredcites →https://doi.org/10.1198/07350010152596655openalex-snapshot
Markov Regime Switching and Unit-Root Tests
inferredcites →https://doi.org/10.1198/073500102753410372openalex-snapshot
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
inferredcites →https://doi.org/10.1257/000282802762024719openalex-snapshot
Art as an Investment and the Underperformance of Masterpieces
inferredcites →https://doi.org/10.1257/002205103322436188openalex-snapshot
Auctions and the Price of Art
inferredcites →https://doi.org/10.1257/aer.101.3.222openalex-snapshot
Art and Money
inferredcites →https://doi.org/10.1257/aer.90.5.1464openalex-snapshot
Output Fluctuations in the United States: What Has Changed Since the Early 1980's?
inferredcites →https://doi.org/10.1257/jep.13.4.193openalex-snapshot
Measuring Returns on Investments in Collectibles
inferredcites →https://doi.org/10.1353/mcb.2006.0083openalex-snapshot
Purchasing Power Parity and Markov Regime Switching
inferredcites →https://doi.org/10.1515/9780691218632openalex-snapshot
Time Series Analysis
inferredcites →https://doi.org/10.17578/2-3-1openalex-snapshot
Are Real Assets Priced Internationally? Evidence from the Art Market
inferredcites →https://doi.org/10.2139/ssrn.938810openalex-snapshot
Output Fluctuations in the United States: What Has Changed Since the Early 1980s?
inferredcites →https://doi.org/10.22004/ag.econ.273723openalex-snapshot
Critical Values for Cointegration Tests
inferredcites →https://doi.org/10.2307/1913712openalex-snapshot
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
inferredcites →https://doi.org/10.2307/2076916openalex-snapshot
Time Series Analysis.
inferredcites →https://doi.org/10.2307/2336019openalex-snapshot
Hypothesis Testing when a Nuisance Parameter is Present Only Under the Alternatives
inferredcites →https://doi.org/10.2307/2527399openalex-snapshot
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4010453openalex-extracted
inferred← citeshttps://doi.org/10.1016/j.econmod.2017.08.004openalex-snapshot
Testing for bubbles in the art markets: An empirical investigation
inferred← citeshttps://doi.org/10.1016/j.intfin.2021.101312openalex-snapshot
Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures
inferred← citeshttps://doi.org/10.1016/j.iref.2017.06.003openalex-snapshot
The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches
inferred← citeshttps://doi.org/10.1016/j.iref.2022.11.015openalex-snapshot
Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market
inferred← citeshttps://doi.org/10.1080/00036846.2024.2317814openalex-snapshot
The inflation hedging property of art: evidence from the US, UK and France
inferred← citeshttps://doi.org/10.1080/13504851.2023.2187022openalex-snapshot
Is art market efficient? Evidence from non-linear quantile unit-root tests
inferred← citeshttps://doi.org/10.1111/agec.12265openalex-snapshot
Do rice prices follow a random walk? Evidence from Markov switching unit root tests for Asian markets
inferred← citeshttps://doi.org/10.1111/manc.12192openalex-snapshot
Testing the Efficiency of the Art Market Using Quantile‐Based Unit Root Tests with Sharp and Smooth Breaks
inferred← citeshttps://doi.org/10.7176/ejbm/11-9-11openalex-snapshot
Variance Ratio Test in Pakistani Stock Market
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