AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS

DOI10.1142/S0219024906003718zbMATH Open1184.91167OpenAlexW2004113880MaRDI QIDQ5483500FDOQ5483500

Authors: T. J. Brailsford, R. D. Terrell, Jack H. W. Penm 

Publication date: 14 August 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003718

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zbMATH Keywords

cointegrationinternational portfolio diversificationVECMAsian currency crisis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Title not available (Why is that?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting and testing in co-integrated systems
• Statistical analysis of cointegration vectors
• A Stastistical Analysis of Cointegration for I(2) Variables
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Interpreting cointegrating vectors and common stochastic trends
• THE RECURSIVE FITTING OF SUBSET VARX MODELS

Cited In (5)

• Price linkages in Asian equity markets: evidence bordering the Asian economic, currency and financial crises
• The impact of structural breaks on the integration of the ASEAN-5 stock markets
• The impact of the U.S. and the Japanese equity markets on the emerging Asia-Pacific equity markets
• TESTING PPP BY MEANS OF ZNZ PATTERNED VECM
• ASEAN economic community: analysis based on fractional integration and cointegration

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