Testing for international equity market integration using regime switching cointegration techniques

Author:

Davies Andrew

Publisher

Wiley

Subject

Economics and Econometrics,Finance

Reference19 articles.

1. Mean reversion across national stock markets and parametric contrarian investment strategies;Balvers;Journal of Finance,2000

2. Long-term relationships between international share prices;Blackman;Applied Financial Economics,1994

3. Rank tests for nonlinear cointegration;Breitung;Journal of Business and Economic Statistics,2001

4. Rank tests for unit roots;Breitung;Journal of Econometrics,1997

5. Common stochastic trends in European stock markets;Corhay;Economic Letters,1993

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