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A NEW APPROACH TO TESTING PPP: EVIDENCE FROM THE YEN

Brailsford, T.J.; Penm, J.H.W.; Terrell, R.D. - In: Research in finance : Vol. 21, (pp. 135-154). 2005

Conventional methods to test for long-term PPP based on the theory of cointegration are typically undertaken in the framework of vector error correction models (VECM). The standard approach in the use of VECMs is to employ a model of full-order, which assumes nonzero entries in all the...

Persistent link: https://www.econbiz.de/10015387345

An analysis of long memory in volatility for Asian stock markets

Chung, Huimin; Lin, William T.; Wu, Soushan - In: Review of Pacific Basin financial markets and policies 3 (2000) 3, pp. 309-330

Persistent link: https://www.econbiz.de/10001535912

A new approach to stress testing of stock portfolios and its application to the Taiwan stock market

Wang, Shen; Wu, Soushan; Chung, Huimin - In: The Asia Pacific journal of economics and business : APJEB 4 (2000) 2, pp. 52-73

Persistent link: https://www.econbiz.de/10001652203

Using zero-non-zero patterned vector autoregressive modelling to test for causality etween money supply, GDP growth, the London stock market index and the euro exchange rate

Lin, Edward J. Y.; Penm, Jammie H.; Terrell, R. D.; Wu, … - In: Research in finance 20 (2003), pp. 99-117

Persistent link: https://www.econbiz.de/10001902283