Convergence and interdependence between ASEAN-5 stock markets

DOI10.1016/J.MATCOM.2008.12.004zbMath1168.91475OpenAlexW2088657647MaRDI QIDQ834332

Lee K. Lim

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.004

zbMATH Keywords

correlationcointegrationGranger causalityfinancial crisisASEAN markets

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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