Computing stock price comovements with a three-regime panel smooth transition error correction model

DOI10.1007/S10479-018-2805-3zbMath1409.91214OpenAlexW2795714926MaRDI QIDQ1730719

Fredj Jawadi, Souhir Chlibi, Abdoulkarim Idi Cheffou

Publication date: 6 March 2019

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2805-3

zbMATH Keywords

nonlinearitycomovementmultiple regimesdeveloped and emerging stock marketspstecm

Mathematics Subject Classification ID

Portfolio theory (91G10)

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