Computing stock price comovements with a three-regime panel smooth transition error correction model

Author:

Jawadi FredjORCID,Chlibi Souhir,Cheffou Abdoulkarim Idi

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Reference36 articles.

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2. Arouri, M. E. H., & Jawadi, F. (2010). Nonlinear stock market integration in emerging countries. International Journal of Economics and Finance, 2(5), 79–90.

3. Balke, N. S., & Fomby, T. B. (1997). Threshold cointegration. International Economic Review, 38(3), 627–645.

4. Bekaert, G., & Harvey, C. (1995). Time varying world market integration. Journal of Finance, 50(2), 403–444.

5. Ben Ameur, H., Jawadi, F., & Louhichi, W. (2016). Measurement errors in stock markets. Annals of Operations Research. https://doi.org/10.1007/s10479-016-2138-z .

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