Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach

DOI10.1515/snde-2016-0049OpenAlexW2565877426MaRDI QIDQ2691690

Mohamed Sellami, Fredj Jawadi, Souhir Chlibi

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0049

zbMATH Keywords

stock price comovementsvector threshold cointegrationvector threshold error correction model (VTECM)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

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

Cites Work

• Unnamed Item
• Bootstrap testing for the null of no cointegration in a threshold vector error correction model
• A smoothed least squares estimator for threshold regression models
• Threshold models in non-linear time series analysis
• Likelihood-based inference for cointegration with nonlinear error-correction
• Behavioral heterogeneity in stock prices
• Statistical analysis of cointegration vectors
• Spurious regressions in econometrics
• Testing for two-regime threshold cointegration in vector error-correction models.
• Analyzing heterogeneous stock price comovements through hybrid approaches
• ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS
• Threshold Cointegration
• Threshold Autoregression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Testing and Modeling Threshold Autoregressive Processes
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• Heteroscedasticity and Autocorrelation Robust Structural Change Detection
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

This page was built for publication: Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach