Financial integration in emerging economies: an application of threshold cointegration

DOI10.1515/SNDE-2018-0093OpenAlexW3041762816MaRDI QIDQ2700566

Syed Jawad Hussain Shahzad, Naveed Raza, Xuan Vinh Vo, Sajid Ali, Mobeen Ur Rehman

Publication date: 27 April 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-2018-0093

zbMATH Keywords

stock marketsBRICSasymmetric cointegrationasymmetric error correction model (AECM)

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Threshold models in non-linear time series analysis
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
• Threshold Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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