Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread. A threshold vector error correction approach

Anastasios Evgenidis, Athanasios Tsagkanos, Costas Siriopoulos

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
Pages (from-to)267-279
Number of pages13
JournalResearch in International Business and Finance
Publication statusPublished - 1 Jan 2017
Externally publishedYes


  • Threshold cointegration
  • Time-varying causality
  • Uncertainty
  • Yield spread

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