Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach (Q2691690)

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Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
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    Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach (English)
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    30 March 2023
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    stock price comovements
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    vector threshold cointegration
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    vector threshold error correction model (VTECM)
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