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Equity market interdependence : the relationship between European and US stock markets

Avouyi-Dovi, Sanvi; Neto, David - In: Financial stability review : FSR (2004) 4, pp. 108-126

Persistent link: https://www.econbiz.de/10002353975

Testing uncovered interest rate parity and term structure using three-regime threshold unit root VECM

Krishnakumar, Jayalakshmi; Neto, David - 2009

Persistent link: https://www.econbiz.de/10003926957

Testing the "Inaction corridor" in a three-regime threshold error correction model with an application to a buffer-stock model for US money demand

Krishnakumar, Jayalakshmi; Neto, David - In: Economic notes : economic review of Banca Monte dei … 40 (2011) 1/2, pp. 29-43

Persistent link: https://www.econbiz.de/10009299641

Testing uncovered interest rate parity and term structure using multivariate threshold cointegration

Krishnakumar, Jayalakshmi; Neto, David - In: Computational methods in financial engineering : essays …, (pp. 191-210). 2008

Persistent link: https://www.econbiz.de/10003669639

Testing the 'Inaction Corridor' in a Three-Regime Threshold Error Correction Model with an Application to a Buffer-Stock Model for US Money Demand

Neto, David - 2014

In this paper, we develop a test for the existence of a middle 'band of inaction' in a three-regime threshold vector error correction model (TVECM). A Wald statistic is proposed for this purpose, its limiting distribution is derived (which is non-standard) and critical values calculated through...

Persistent link: https://www.econbiz.de/10013043908