Search Results - subject:"Threshold cointegration test"

The relationship between the oil price shocks and the stock markets : the example of commonwealth of independent states countries

Syzdykova, Aziza - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 6, pp. 161-166

Persistent link: https://www.econbiz.de/10011954268

Rational Bubbles Exist in the G-7 Stock Markets? Threshold Cointegration Approach

Wu, Li-Hung - In: Journal for Economic Forecasting (2013) 4, pp. 32-43

The purpose of this paper is to investigate whether rational bubbles exist in the G-7 stock markets during the period from January 1980 to July 2008 using the threshold cointegration approach with asymmetric adjustments advanced by Enders and Siklos (2001). The results of threshold cointegration...

Persistent link: https://www.econbiz.de/10010734662

Long-Run Purchasing Power Parity with Asymmetric Adjustment: Evidence from Mainland China and Taiwan

Lu, Yang-Cheng; Chang, Tsangyao; Yu, Chin-Ping - In: Journal for Economic Forecasting (2011) 3, pp. 59-70

This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of …

Persistent link: https://www.econbiz.de/10009321268