Chouliaras, Andreas S.; Christopoulos, Apostolos G.; … - In: International Journal of Banking, Accounting and Finance 4 (2012) 3, pp. 232-249
PIIGS markets, especially during the crisis period. Further analysis into a regime switching and GARCH framework confirms …This paper investigates whether cointegration and causality relationships exist among the stock markets of the Portugal … period' and the second 'crisis period'. We apply a battery of tests such as Johansen cointegration, Granger causality …