Modeling threshold effects in stock price co-movements : a vector nonlinear cointegration approach
Souhir Chlibi, Fredj Jawadi and Mohamed Sellami
| Year of publication: |
Feb 2017
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| Authors: | Chlibi, Souhir ; Jawadi, Fredj ; Sellami, Mohamed |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 21.2017, 1, p. 47-63
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| Subject: | stock price comovements | vector threshold cointegration | vector threshold error correction model (VTECM) | Kointegration | Cointegration | Börsenkurs | Share price | VAR-Modell | VAR model | Nichtlineare Regression | Nonlinear regression | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2016-0049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011650219