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Publication Detailed Description
Asymmetric price transmission within the Portuguese stock market
Journal Title
Physica A
Year (definitive publication)
2004
Language
English
Country
Netherlands
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Abstract
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.
Acknowledgements
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Keywords
Asymmetric price transmission,Threshold adjustment,Cointegration
Fields of Science and Technology Classification
- Physical Sciences - Natural Sciences
