A multivariate cointegration time series model and its applications in analysing stock markets in China
Yan-Yong Zhao, Xu-Guo Ye and Zhong-Cheng Han
Year of publication: |
2020
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Authors: | Zhao, Yan-Yong ; Ye, Xu-Guo ; Han, Zhong-Cheng |
Published in: |
Economic research. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1331-677X, ZDB-ID 2171828-3. - Vol. 33.2020, 1,1, p. 698-711
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Subject: | Local linear estimation | misspecification test | multivariate nonlinear cointegration | time series | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Schätztheorie | Estimation theory | China | Multivariate Analyse | Multivariate analysis | Aktienmarkt | Stock market |
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