Multivariate cointegration analysis of the Finnish-Japanese stock markets
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Publication:5952502
DOI10.1016/S0377-2217(00)00272-1zbMath0988.91032WikidataQ126628483 ScholiaQ126628483MaRDI QIDQ5952502
Publication date: 22 July 2002
Published in: European Journal of Operational Research (Search for Journal in Brave)
international interdependence; multivariate and bivariate cointegration analysis; stock market and monetary information
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Uses Software
Cites Work
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Testing for a unit root in time series regression
- Comparisons of tests for multivariate cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)
- Efficient Tests for an Autoregressive Unit Root
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