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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
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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
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Integration of stock markets using autoregressive distributed lag bounds test approach
Patel, Nikunj; Patel, Bhavesh - In: Global business & economics review 26 (2022) 1, pp. 37-64
Persistent link: https://www.econbiz.de/10012798071
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Measuring time-varying financial market integration : an unobserved components approach
Berger, Tino; Pozzi, Lorenzo - In: Journal of banking & finance 37 (2013) 2, pp. 463-473
Persistent link: https://www.econbiz.de/10009705640
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The Turkish stock market integration with oil prices : cointegration analysis with unknown regime shifts
Halaç, Umut; Taşkın, Fatma Dilvin; Çağlı, Efe Çağlar - In: Panoeconomicus 60 (2013) 4, pp. 499-513
Persistent link: https://www.econbiz.de/10010341061
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Technology spillover effects and economic integration evidence from integrating EU countries
Hafner, Kurt - In: Applied economics 46 (2014) 25/27, pp. 3021-3036
Persistent link: https://www.econbiz.de/10010418165
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Modelling long run comovements in equity markets : a flexible approach
Martins, Luís Filipe; Gabriel, Vasco J. - In: Journal of banking & finance 47 (2014), pp. 288-295
Persistent link: https://www.econbiz.de/10010506954
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Long memory linkages amongst Latin American stock markets : a fractional cointegration approach
Vides, José Carlos - In: Spanish journal of finance & accounting : the official … 51 (2022) 1, pp. 77-101
Persistent link: https://www.econbiz.de/10012820972
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On real interest rate convergence among G7 countries
Riedel, Jana - In: Empirical economics : a journal of the Institute for … 59 (2020) 2, pp. 599-626
Persistent link: https://www.econbiz.de/10012258791
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Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32
Persistent link: https://www.econbiz.de/10011964613