Inter-regional dependence of J-REIT stock prices : a heteroscedasticity-robust time series approach
Kaiji Motegi, Yoshitaka Iitsuka
| 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 | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Coronavirus | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101840 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014246819