Mann, Janelle; Brewin, Derek - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-7
Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial … trade disruptions on prices. The threshold cointegration technique that is employed is flexible in that it allows the number …. We innovate on the threshold cointegration technique by selecting a measure of trade disruptions as the threshold …