References
- Balke , N. S. and Fomby , T. B. 1997 . Threshold cointegration . International Economic Review , 38 : 627 – 45 .
- Bohl , M. T. and Siklos , P. L. 2004 . The present value model of U.S. stock prices redux: a new testing strategy and some evidence . The Quarterly Review of Economics and Finance , 44 : 208 – 223 .
- Campbell , J. Y. and Shiller , R. 1987 . Cointegration and tests of present value models . Journal of Political Economy , 95 : 1062 – 88 .
- Gallagher , L. A. and Taylor , M. P. 2001 . Risky arbitrage, limits of arbitrage, and nonlinear adjustment in the dividend-price ratio . Economic Inquiry , 39 : 524 – 36 .
- Hansen , B. E. and Seo , B. 2002 . Testing for two-regime threshold cointegration in vector error-correction models . Journal of Econometrics , 110 : 293 – 318 .
- Kanas , A. 2003 . Non-linear cointegration between stock prices and dividends . Applied Economics Letters , 10 : 401 – 5 .
- Kanas , A. 2005 . Nonlinearity in the stock price-dividend relation . Journal of International Money and Finance , 24 : 583 – 606 .