A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns
Author:
Funder
Univerzita Karlova v Praze
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s00181-023-02541-4.pdf
Reference22 articles.
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2. Andreou E, Ghysels E, Kourtellos A (2010) Regression models with mixed sampling frequencies. J Economet 158:246–261
3. Brennan MJ, Cao H (1997) International portfolio investment flows. J Finance 52:1851–1880
4. Choe H, Kho BC, Stulz RM (1999) Do foreign investors destabilize stock markets” The Korean experience in 1997. J Financ Econ 54:227–264
5. Froot KA, Ramadorai T (2001) The information content of international portfolio flows. NBER Working Paper 8472. National Bureau of Economic Research
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