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Estimating dynamic market efficiency frontiers

Mu, Yali; Cramon-Taubadel, Stephan von - In: Journal of agricultural economics : JAE 73 (2022) 3, pp. 633-653

Persistent link: https://www.econbiz.de/10013384798

The estimation of threshold models in price transmission analysis

Greb, Friederike; Cramon-Taubadel, Stephan von; … - 2012 - November 2011, updated October 2012

The threshold vector error correction model is a popular tool for the analysis of spatial price transmission and market integration. In the literature, the profile likelihood estimator is the preferred choice for estimating this model. Yet, in certain settings this estimator performs poorly. In...

Persistent link: https://www.econbiz.de/10010357151

The estimation of threshold models in price transmission analysis

Greb, Friederike; Cramon-Taubadel, Stephan von; … - In: American journal of agricultural economics 95 (2013) 4, pp. 900-916

Persistent link: https://www.econbiz.de/10010203445

Stock market integration : evidence from BRIC countries

Tripathy, Nalini Prava - In: International journal of business and emerging markets … 7 (2015) 3, pp. 286-306

Persistent link: https://www.econbiz.de/10011416875

Estimation of dynamic panel spatial vector autoregression : stability and spatial multivariate cointegration

Yang, Kai; Lee, Lung-fei - In: Journal of econometrics 221 (2021) 2, pp. 337-367

Persistent link: https://www.econbiz.de/10012618869

Efficiency of emerging and emerged capital markets : an empirical study on BRICS and G7 nations

Babu, M.; Hariharan, C.; Srinivasan, S. - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 61-77

Persistent link: https://www.econbiz.de/10011621671

Co-movements of the Indian stock market

Sudhakar, Aare; Sireesha, P. Bhanu - In: GITAM journal of management : a quarterly publication … 13 (2015) 2, pp. 40-59

Persistent link: https://www.econbiz.de/10011398114

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Persistent link: https://www.econbiz.de/10011398127

Permanent and transitory shocks in the presence of asymmetric error correction

Chan, F.; McDonald, Garry A. - In: Applied economics 47 (2015) 25/27, pp. 2642-2648

Persistent link: https://www.econbiz.de/10010519640

Common trends and common cycles : Bayesian approach

Wróblewska, Justyna - In: Central European journal of economic modelling and … 7 (2015) 2, pp. 91-110

Persistent link: https://www.econbiz.de/10011429745

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