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Title: Asymmetric price transmission within the Portuguese stock market
Authors: Dionísio, Andreia
Menezes, Rui
Mendes, Diana
Keywords: Asymmetric price transmission; Threshold adjustment; Cointegration
Issue Date: 2004
Publisher: Elsevier
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.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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