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

2005

Field of Research

  • Finance

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