Zero-non-zero patterned vector error correction modelling for I(2) cointegrated time series with applications in testing PPP and stock market relationships
Citation
Brailsford, T, Penm, J & Terrell, R 2005, 'Zero-non-zero patterned vector error correction modelling for I(2) cointegrated time series with applications in testing PPP and stock market relationships', Research in Finance, vol. 22, pp. 305-326.Year
2005ANU Authors
Field of Research
- Finance