Search Results - subject:"Threshold cointegration"

Global natural gas market integration in the face of shocks: Evidence from the dynamics of European, Asian, and US gas futures prices

Farag, Markos; Jeddi, Samir; Kopp, Jan Hendrik - 2023

This paper analyzes the integration of the American, European, and Asian natural gas markets over the period 2016-2022, with a focus on how the demand shock caused by the COVID-19 pandemic and the supply shock caused by geopolitical tensions in the European market affected this integration. We...

Persistent link: https://www.econbiz.de/10014494916

When cointegration is interrupted : price transmission analysis in the Italian dairy-feed industry

Cattivelli, Luca; Antonioli, Federico - In: Agribusiness : an international journal 39 (2023) 3, pp. 744-761

Persistent link: https://www.econbiz.de/10014338274

Is there a long-run relationship between the unemployment insurance and the labor force participation rate in the USA? : a nonlinear analysis

Ahmed, Haydory Akbar - In: Economia : revista da ANPEC 23 (2022) 1, pp. 25-43

nature of short-run dynamics. Findings The Enders and Siklos (2001) test find evidence of threshold cointegration between the …/methodology/approach This research applies time-series econometric approach using monthly data from 1959:1 to 2020:3 to test threshold … cointegration and estimate a threshold vector error-correction (TVEC) model. The estimates from the TVEC model investigating the …

Persistent link: https://www.econbiz.de/10014418035

Global natural gas market integration in the face of shocks : evidence from the dynamics of European, Asian, and US gas futures prices

Farag, Markos; Jeddi, Samir; Kopp, Jan Hendrik - 2023

Persistent link: https://www.econbiz.de/10014327618

Spillovers between non-commercial traders' activity and spot prices? : analysis of the financialization mechanism in the crude oil market

Focacci, Antonio - In: China finance review international 13 (2023) 2, pp. 157-182

Persistent link: https://www.econbiz.de/10014312259

Market integration and price transmission in the regional grain markets in Ethiopia

Kidane, Dejene Gizaw - In: Journal of Applied Economics 25 (2022) 1, pp. 784-801

threshold cointegration model reveals that they are characterized by symmetric adjustment. Hence, I argue that there is …

Persistent link: https://www.econbiz.de/10015334307

Market integration and price transmission in the regional grain markets in Ethiopia

Kidane, Dejene Gizaw - 2022

threshold cointegration model reveals that they are characterized by symmetric adjustment. Hence, I argue that there is …

Persistent link: https://www.econbiz.de/10014247246

Investigating the impact of trade disruptions on price transmission in commodity markets: An application of threshold cointegration

Mann, Janelle; Brewin, Derek - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-7

Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial … trade disruptions on prices. The threshold cointegration technique that is employed is flexible in that it allows the number …. We innovate on the threshold cointegration technique by selecting a measure of trade disruptions as the threshold …

Persistent link: https://www.econbiz.de/10013201134

Investigating the impact of trade disruptions on price transmission in commodity markets : an application of threshold cointegration

Mann, Janelle; Brewin, Derek - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-7

Persistent link: https://www.econbiz.de/10012628574

The Greek tourism-led growth revisited: insights and prospects

Lolos, Sarantis E. G.; Palaios, Panagiotis; Papapetrou, … - 2021

Persistent link: https://www.econbiz.de/10012601165