REFERENCES


Bohl, M.T. and Siklos, P.L., 2004. The present value model of US stock prices redux:
a new testing strategy and some evidence. The Quarterly Review of
Economics and Finance, 44, pp. 208-23.

Campbell, J.Y. Lo, A.W and MacKinlay, A.C., 1997. The Econometrics of Financial
Markets. Princeton University Press, Princeton, NJ.

Caner, M. and Hansen, B., 2001. Threshold autoregression with a unit root.
Econometrica, 69, pp. 1555-1596.

Caporale, G.M., and Gil-Alana, L.A., 2004. Fractional cointegration and tests of
present value models. Review of Financial Economics, 13, pp. 245-258.

Chaudhuri, K., and Y. Wu, 2003. Random walk versus breaking trend in stock prices:
evidence from emerging markets. Journal of Banking and Finance, 27,
pp. 575-92.

Choudhry, K., 1997. Stochastic trends in stock prices: Evidence from Latin American
markets, Journal of Macroeconomics, 19, pp. 285-304.

Cuñado, J.L. Gil-Alana, A. and F. Perez de Gracia, 2005. A test for rational bubbles in
the NASDAQ stock index: A fractionally integrated approach. Journal
of Banking and Finance, 29, pp. 2633-2654.

Fama, E.F. and K.R. French, 1988. Dividend yields and expected stock returns.
Journal of Financial Economics, 22, pp. 3-25.

Froot, K.A. and M. Obstfeld, 1991. Intrinsic bubbles: the case of stock prices.
American Economic Review, 81, pp. 1189-214.

Granger, C.W. and J.J. J.and Hallman, 1991. Long-memory series with attractors,
Oxford Bulletin of Economics and Statistics, 53, pp. 11-26.

Grieb, T.A. and M.G. Reyes, 1999. Random walk tests for Latin American equity
indexes and individual firms. Journal of Financial Research, 22, pp.
371-383.

Hansen, B.E., 1996.Inference when a nuisance parameter is not identified under the
null hypothesis. Econometrica, 64, pp. 413-430.

Hansen, B.E., 1997. Inference in TAR models. Studies in Nonlinear Dynamics and
Econometrics, 1, pp. 119–31.

Hansen, B.E., 2000. Sample splitting and threshold estimation. Econometrica, 68, pp.
575-603.

Huber, P., 1997. Stock market returns in thin markets: evidence from the Vienna stock
exchange. Applied Financial Economics, 7, pp. 493-498.

Kanas, A., 2003. Non-linear cointegration between stock prices and dividends. Applied
Economic Letters, 10, pp. 401-405.

Kanas, A. and M. Genius, 2005. Regime non-stationarity in the US/UK real exchange
rate. Economics Letters, 87, pp. 407-413.

Bohl, M.T. and Siklos, P.L., 2004. The present value model of US stock prices redux:
a new testing strategy and some evidence. The Quarterly Review of
Economics and Finance, 44, pp. 208-23.

Campbell, J.Y. Lo, A.W and MacKinlay, A.C., 1997. The Econometrics of Financial
Markets. Princeton University Press, Princeton, NJ.
Caner, M. and Hansen, B., 2001. Threshold autoregression with a unit root.
Econometrica, 69, pp. 1555-1596.

Caporale, G.M., and Gil-Alana, L.A., 2004. Fractional cointegration and tests of
present value models. Review of Financial Economics, 13, pp. 245-
258.

Chaudhuri, K., and Y. Wu, 2003. Random walk versus breaking trend in stock prices:
evidence from emerging markets. Journal of Banking and Finance, 27,
pp. 575-92.

Choudhry, K., 1997. Stochastic trends in stock prices: Evidence from Latin American
markets, Journal of Macroeconomics, 19, pp. 285-304.

Cuñado, J.L. Gil-Alana, A. and F. Perez de Gracia, 2005. A test for rational bubbles in
the NASDAQ stock index: A fractionally integrated approach. Journal
of Banking and Finance, 29, pp. 2633-2654.

Fama, E.F. and K.R. French, 1988. Dividend yields and expected stock returns.
Journal of Financial Economics, 22, pp. 3-25.

Froot, K.A. and M. Obstfeld, 1991. Intrinsic bubbles: the case of stock prices.
American Economic Review, 81, pp. 1189-214.

Granger, C.W. and J.J. J.and Hallman, 1991. Long-memory series with attractors,
Oxford Bulletin of Economics and Statistics, 53, pp. 11-26.

Grieb, T.A. and M.G. Reyes, 1999. Random walk tests for Latin American equity
indexes and individual firms. Journal of Financial Research, 22, pp.
371-383.
Hansen, B.E., 1996.Inference when a nuisance parameter is not identified under the
null hypothesis. Econometrica, 64, pp. 413-430.

Hansen, B.E., 1997. Inference in TAR models. Studies in Nonlinear Dynamics and
Econometrics, 1, pp. 119–31.
Hansen, B.E., 2000. Sample splitting and threshold estimation. Econometrica, 68, pp.
575-603.

Huber, P., 1997. Stock market returns in thin markets: evidence from the Vienna stock
exchange. Applied Financial Economics, 7, pp. 493-498.

Kanas, A., 2003. Non-linear cointegration between stock prices and dividends. Applied
Economic Letters, 10, pp. 401-405.

Kanas, A. and M. Genius, 2005. Regime non-stationarity in the US/UK real exchange
rate. Economics Letters, 87, pp. 407-413.