Time-varying threshold cointegration and the law of one price
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/00036840500486540
Reference36 articles.
1. Using threshold cointegration to estimate asymmetric price transmission in the Swiss pork market
2. Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets
3. Does the Law of One Price Really Hold for Commodity Prices?
4. Modelling the FF/MM rate by threshold cointegration analysis
5. Estimating Multiple Breaks One at a Time
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