Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
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Publication:2691690
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
stock price comovementsvector threshold cointegrationvector threshold error correction model (VTECM)
Related Items (1)
Computing stock price comovements with a three-regime panel smooth transition error correction model
Cites Work
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