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~person:"Liu, Tengdong"
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Asymmetry
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Country risk ratings
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Multivariate MTAR model
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Liu, Tengdong
Phiri, Andrew
5
Schweikert, Karsten
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Kawasaki, Kentaro
4
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Abubakar, Attahir B.
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Anoruo, Emmanuel
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Journal of International Financial Markets, Institutions and Money
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Journal of international financial markets, institutions & money
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A momentum threshold model of stock prices and country risk ratings : evidence from BRICS countries
Liu, Tengdong
;
Hammoudeh, Shawkat
;
Thompson, Mark A.
- In:
Journal of international financial markets, …
27
(
2013
),
pp. 99-112
Persistent link: https://www.econbiz.de/10010411750
Saved in:
2
A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries
Liu, Tengdong
;
Hammoudeh, Shawkat
;
Thompson, Mark A.
- In:
Journal of International Financial Markets, …
27
(
2013
)
C
,
pp. 99-112
We develop a multivariate momentum threshold autoregression (
MTAR
) model that examines the relationship between stock …
Persistent link: https://www.econbiz.de/10010718961
Saved in:
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