The impact of structural breaks on the integration of the ASEAN-5 stock markets

DOI10.1016/J.MATCOM.2008.12.012zbMath1162.91523OpenAlexW2166643081MaRDI QIDQ1025348

J. Martínez

Publication date: 18 June 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.012

zbMATH Keywords

stock marketstructural breakcointegration rankAsian financial crisis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Strong convergence rate of robust estimator of change point

Cites Work

• Statistical analysis of cointegration vectors
• Tests of cointegrating rank with trend-break
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Testing for Common Trends
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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