Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach

DOI10.1515/SNDE-2016-0049OpenAlexW2565877426MaRDI QIDQ2691690

Mohamed Sellami, Fredj Jawadi, Souhir Chlibi

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0049

zbMATH Keywords

stock price comovementsvector threshold cointegrationvector threshold error correction model (VTECM)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Computing stock price comovements with a three-regime panel smooth transition error correction model

Cites Work

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