Asymmetric price transmission within the Portuguese stock market

被引：2
|
作者：
Menezes, R
Dionisio, A
Mendes, DA
机构：
[1] Univ Evora, Dept Management, P-7000 Evora, Portugal
[2] ISCTE, P-1649025 Lisbon, Portugal
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2004年 / 344卷 / 1-2期
关键词：
asymmetric price transmission; threshold adjustment; cointegration;
D O I：
10.1016/j.physa.2004.06.141
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
This paper uses threshold autoregressive (TAR) and momentum threshold autoregressive (M-TAR) models to address the problem of asymmetry within the Portuguese stock market. These asymmetric error correction models extend the original cointegration models to deal with the problem of low power of unit roots and cointegration tests in the presence of asymmetric adjustment. (C) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码：312 / 316
页数：5
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