Results 21 to 30 of about 1,248 (231)
Are Stock Markets among BRICS Members Integrated? A Regime Shift-Based Co-Integration Analysis
Economies, 2022 Long-run relationships and structural breaks have often been confused so that many investigators ignore the structural breaks in long-run stock price relationships.
Ayesha Siddiqui +3 more
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Sensibilidad y asimetrías ante choques de ingreso en el consumo privado de México, 1995-2017
Ensayos Revista de Economía, 2020 Esta investigación analiza con un enfoque poskeynesiano la sobre-sensibilidad y las asimetrías ante choques de ingreso del consumo privado y su desagregación en bienes duraderos, semi-duraderos, no-duraderos y los servicios en México para el período ...
Miguel Ángel Mendoza González
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Complexity, 2021 The current study explores nonlinear cointegration as well as asymmetric adjustment to investigate the long-run purchasing power parity in three major trading partners of Pakistan.
Kashif Ali +3 more
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A New Class of Bivariate Threshold Cointegration Models [PDF]
Journal of Business & Economic Statistics, 2015 In this paper, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a compact region, the processes are cointegrated, while in the compact region, we allow different kinds of possibilities. We show that the bivariate processes from a 1/2-null recurrent system.
Biqing Cai, Jiti Gao, Dag Tjostheim
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Modeling Economic Risk in the QISMUT Countries: Evidence From Nonlinear Cointegration Tests
SAGE Open, 2021 This study aims to examine the causal and long-term effects of domestic finance, political risks, and global risk on domestic economic risk in QISMUT countries, namely Qatar, Indonesia, Saudi Arabia, Malaysia, UAE, and Turkey, covering the period of ...
Xiaojuan He +3 more
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ASYMMETRIC ADJUSTMENT OF THE SECTORIAL LENDINGDEPOSIT RATE SPREAD IN FIJI
Buletin Ekonomi Moneter dan Perbankan, 2021 This study investigates the asymmetric adjustment of the sectorial lending-deposit rate spread in Fiji’s banking industry using monthly data from January 2000 to February 2020.
Shamal Shivneel Chand, Baljeet Singh
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Carbon Management, 2017 The present study investigates the long-run impact of financial development, energy consumption and economic growth on greenhouse gas emissions for India, in the presence of endogenous structural breaks, over the period 1971–2013.
Javaid Ahmad Dar, Mohammad Asif
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Revista de Economia e Sociologia Rural, 2010 A maioria dos estudos de integração de mercados que utiliza a técnica de cointegração com threshold não se preocupa em testar qual o número de regimes de ajustamento de preços é o mais adequado.
Leonardo Bornacki de Mattos +3 more
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IV threshold cointegration tests and the Taylor rule [PDF]
Economic Modelling, 2010 ABSTRACT The usual cointegration tests often entail nuisance parameters that hinder precise inference. This problem is even more pronounced in a nonlinear threshold framework when stationary covariates are included. In this paper, we propose new threshold cointegration tests based on instrumental variables estimation.
Enders, Walter +3 more
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Modeling Stock High-Low Price Range: Fractional Cointegrating VAR Approach (FCVAR) [PDF]
تحقیقات مالیObjectiveThis paper seeks to employ fractional cointegration methodology to model high and low stock prices, as well as the range series, indicating the difference between high and low stock prices.
Elham Farzanegan
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