Lucey, Brian M.; Voronkova, Svitlana - In: Journal of International Money and Finance 27 (2008) 8, pp. 1303-1324
This paper examines the relationships between Russian and other equity markets over the period of 1995-2004. To account for potential instability in the market relationships we apply a number of cointegration approaches: Gregory-Hansen [1996. Residual-based tests for cointegration in models with...