Asymmetric price transmission within the Portuguese stock market

Detalhes bibliográficos
Autor(a) principal: Dionísio, Andreia
Data de Publicação: 2004
Outros Autores: Menezes, Rui, Mendes, Diana
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/1819
Resumo: 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.
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spelling Asymmetric price transmission within the Portuguese stock marketAsymmetric price transmission; Threshold adjustment; CointegrationThis 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.Elsevier2009-11-16T15:56:23Z2009-11-162004-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article129093 bytesapplication/pdfhttp://hdl.handle.net/10174/1819http://hdl.handle.net/10174/1819eng312-316344Physica Alivreandreia@uevora.ptrui.menezes@iscte.ptdiana.mendes@iscte.pt637Dionísio, AndreiaMenezes, RuiMendes, Dianainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T18:37:46Zoai:dspace.uevora.pt:10174/1819Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:57:39.614912Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Asymmetric price transmission within the Portuguese stock market
title Asymmetric price transmission within the Portuguese stock market
spellingShingle Asymmetric price transmission within the Portuguese stock market
Dionísio, Andreia
Asymmetric price transmission; Threshold adjustment; Cointegration
title_short Asymmetric price transmission within the Portuguese stock market
title_full Asymmetric price transmission within the Portuguese stock market
title_fullStr Asymmetric price transmission within the Portuguese stock market
title_full_unstemmed Asymmetric price transmission within the Portuguese stock market
title_sort Asymmetric price transmission within the Portuguese stock market
author Dionísio, Andreia
author_facet Dionísio, Andreia
Menezes, Rui
Mendes, Diana
author_role author
author2 Menezes, Rui
Mendes, Diana
author2_role author
author
dc.contributor.author.fl_str_mv Dionísio, Andreia
Menezes, Rui
Mendes, Diana
dc.subject.por.fl_str_mv Asymmetric price transmission; Threshold adjustment; Cointegration
topic Asymmetric price transmission; Threshold adjustment; Cointegration
description 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.
publishDate 2004
dc.date.none.fl_str_mv 2004-01-01T00:00:00Z
2009-11-16T15:56:23Z
2009-11-16
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/1819
http://hdl.handle.net/10174/1819
url http://hdl.handle.net/10174/1819
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 312-316
344
Physica A
livre
andreia@uevora.pt
rui.menezes@iscte.pt
diana.mendes@iscte.pt
637
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dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
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