Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20
In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and … provide partial support in favor of cointegration, and therefore for capital markets integration, among stock market indices …