Multivariate cointegration analysis of the Finnish-Japanese stock markets

DOI10.1016/S0377-2217(00)00272-1zbMath0988.91032WikidataQ126628483 ScholiaQ126628483MaRDI QIDQ5952502

Ralf Oestermark

Publication date: 22 July 2002

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

international interdependencemultivariate and bivariate cointegration analysisstock market and monetary information

Mathematics Subject Classification ID

Related Items (9)

Contagion around the October 1987 stock market crash ⋮ The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach ⋮ Pairs trading with partial cointegration ⋮ Measuring the subprime crisis contagion: evidence of change point analysis of copula functions ⋮ Time-varying quantile association regression model with applications to financial contagion and VaR ⋮ INTEGRATION OF GLOBAL CAPITAL MARKETS: AN EMPIRICAL EXPLORATION ⋮ Pairs trading with partial cointegration ⋮ Copula-based Black-Litterman portfolio optimization ⋮ An empirical method for assessing the research relevance gap

Uses Software

• CATS
• PcGive

Cites Work

• Unnamed Item
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Testing for a unit root in time series regression
• Comparisons of tests for multivariate cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)
• Efficient Tests for an Autoregressive Unit Root

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