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Zero-non-zero patterned vector error correction modeling for I(2) cointegrated time series with applications in testing PPP and stock market relationships

Brailsford, T. J.; Penm, J. H. W.; Terrell, R. D. - 2005

Vector error-correction models (VECMs) have become increasingly important in their application to financial markets. Standard full-order VECM models assume non-zero entries in all their coefficient matrices. However, applications of VECM models to financial market data have revealed that zero...

Persistent link: https://www.econbiz.de/10009448858

The role of higher oil prices : a case of major developed countries

O'Neill, T. J.; Penm, Jack H. W.; Terrell, R. D. - In: Research in finance 24 (2008), pp. 287-299

Persistent link: https://www.econbiz.de/10003752971

Zero-non-zero patterned vector error correction modelling for I(2) cointegrated time series with applications in testing PPP and stock market relationships

Brailsford, Timothy J.; Penm, Jack H. W.; Terrell, R. D. - In: Research in finance 22 (2005), pp. 305-326

Persistent link: https://www.econbiz.de/10003753387

Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'

Penm, J. H. W.; Terrell, R. D. - In: Journal of econometrics 24 (1984) 3, pp. 311-330

Persistent link: https://www.econbiz.de/10003649491

An analysis of Asian market integration pre- and post-crisis

Brailsford, Timothy J.; Penm, Jack H. W.; Terrell, R. D. - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 483-501

Persistent link: https://www.econbiz.de/10003347380

The role of housing activity : a case of major developed countries

O'Neill, Terry J.; Penm, Jack H. W.; Terrell, R. D. - In: International journal of management & enterprise … 5 (2008) 6, pp. 673-682

Persistent link: https://www.econbiz.de/10003795030

Petri net and its application in deadlock detection

Penm, Jack H. W.; Penm, Robert; Penm, Jonathan; … - In: International journal of management & enterprise … 6 (2009) 1, pp. 118-135

Persistent link: https://www.econbiz.de/10003811306

Assessment of relationships between yield spreads of corporate bond new-issues and their credit ratings in emerging market

Tasi, Weipen; Penm, Jack H. W.; Terrell, R. D. - In: Finance India : the quarterly journal of Indian … 20 (2006) 4, pp. 1295-1320

Persistent link: https://www.econbiz.de/10003454112

A new copula approach for pricing an artificial collateralised debt obligation backed by credit derivatives

Agarwal, Aman; Penm, Jack H. W.; Terrell, R. D. - In: Finance India : the quarterly journal of Indian … 24 (2010) 2, pp. 397-417

Persistent link: https://www.econbiz.de/10008839904

The long-term relations under climate change between economic activity and metal utilizations using the forgetting factor

Chen, Andrew H.; Penm, Jack H. W.; Terrell, R. D. - In: Research in finance 26 (2010), pp. 95-111

Persistent link: https://www.econbiz.de/10009241016