Inter-regional dependence of J-REIT stock prices : a heteroscedasticity-robust time series approach
Year of publication: |
2023
|
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Authors: | Motegi, Kaiji ; Iitsuka, Yoshitaka |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 64.2023, p. 1-14
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Subject: | Conditional heteroscedasticity | COVID-19 | Geographical diversification | Vector autoregression (VAR) | Vector error correction model (VECM) | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Börsenkurs | Share price | Coronavirus | Schätztheorie | Estimation theory | Schätzung | Estimation |
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