haku: @indexterm cointegration / yhteensä: 76
viite: 21 / 76
Tekijä: | Bessler, D.A. Yang, J. |
Otsikko: | The structure of interdependence in international stock markets |
Lehti: | Journal of International Money and Finance
2003 : APR, VOL. 22:2, p. 261-287 |
Asiasana: | Cointegration Error correction models International economic relations Market structure Stock markets |
Kieli: | eng |
Tiivistelmä: | The dynamic structure of nine major stock markets is investigated using an error correction model and directed acyclic graphs (DAG). The DAG representation provides a structure of causality among these markets in contemporaneous time. Innovation accounting techniques are applied building on the contemporaneous structure and the estimated error correction model. |
SCIMA