Analyzing heterogeneous stock price comovements through hybrid approaches

DOI10.1007/S11079-015-9381-9zbMath1412.91244OpenAlexW2328270663MaRDI QIDQ2416207

Mohamed Sellami, Fredj Jawadi, Souhir Chlibi

Publication date: 23 May 2019

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11079-015-9381-9

zbMATH Keywords

diversificationBEKK-GARCHstock price comovementsvector time series and panel cointegration

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (2)

Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach ⋮ Computing stock price comovements with a three-regime panel smooth transition error correction model

Cites Work

• Statistical analysis of cointegration vectors
• Testing for unit roots in heterogeneous panels.
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

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