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Threshold Cointegration and the PPP Hypothesis - MaRDI portal

Threshold Cointegration and the PPP Hypothesis

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Publication:5756442

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DOI10.1080/0266476032000148984zbMath1116.62391OpenAlexW1964346203MaRDI QIDQ5756442

Paulo M. M. Rodrigues, Pedro M. D. C. B. Gouveia

Publication date: 4 September 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0266476032000148984

zbMATH Keywords

cointegration Nonlinearity SETAR models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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An empirical study on the threshold cointegration of Chinese A and H cross-listed shares

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