Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective
Year of publication: |
2013
|
---|---|
Authors: | Lin, Xiaoqiang ; Tang, Zhenpeng ; Fei, Fangyu |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 392.2013, 18, p. 4064-4074
|
Publisher: |
Elsevier |
Subject: | Cointegration | Threshold vector error correction model | Cross-correlation | R/S method |
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