Purpose – While price studies such as Jawadi et al. generally focus on the relationships between oil and stock markets through the study of oil price on stock markets, this paper takes a different perspective to the linkages between oil and stock markets. This study sets out to investigate the...

This note concerns an asymptotic distribution result from the literature on nonlinear estimation with integrated variables. It points out a way of strengthening local asymptotic distribution results towards results that hold for the global minimizer of the criterion function.

This paper employs a non-parametric test to investigate non-linearity in the long-run equilibrium relationship between GCC stock markets returns. The results in the paper show strong evidence of bivariate and multivariate cointegration between five GCC stock markets. However, the Bahrain stock...

This paper employs a non-parametric test to investigate non-linearity in the long-run equilibrium relationship between GCC stock markets returns. The results in the paper show strong evidence of bivariate and multivariate cointegration between five GCC stock markets. However, the Bahrain stock...

This paper introduces Bayesian inference in a Markov switching partial cointegration model. The partial cointegration allows the cointegration relationships to be switched on and off depending on the regime, unlike conventional cointegration analysis that assumes linear adjustment toward...

This paper studies the robust estimation and inference of threshold models with integrated regressors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....