A new nonlinear asymmetric cointegration approach using error correction models

DOI10.1080/03610918.2014.999087zbMath1362.62202OpenAlexW766905238MaRDI QIDQ2974963

Pär Sjölander, Ghazi Shukur, Kristofer Månsson

Publication date: 11 April 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.999087

zbMATH Keywords

Monte Carlo simulationscointegrationerror correction modelsnonlinear asymmetric price transmissionsNordpool

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03)

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