AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS

DOI10.1142/S0219024906003718zbMath1184.91167OpenAlexW2004113880MaRDI QIDQ5483500

Timothy J. Brailsford, R. D. Terrell, J. H. W. Penm

Publication date: 14 August 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003718

zbMATH Keywords

cointegrationVECMinternational portfolio diversificationAsian currency crisis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (1)

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Cites Work

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• Statistical analysis of cointegration vectors
• Forecasting and testing in co-integrated systems
• Interpreting cointegrating vectors and common stochastic trends
• A Stastistical Analysis of Cointegration for I(2) Variables
• THE RECURSIVE FITTING OF SUBSET VARX MODELS
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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