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Autor
Miłobędzki Paweł (University of Gdansk, Poland)
Tytuł
Asymmetry in the Adjustment of Main Capital Market Indices in Poland
Źródło
FindEcon Monograph Series : advances in financial market analysis, 2006, nr 2, s. 221-239, rys., tab., bibliogr. s. 239
Tytuł własny numeru
Financial markets : principles of modeling forecasting and decision-making
Słowa kluczowe
Modele autoregresji, Rynek kapitałowy, Analiza szeregów czasowych
Autoregression models, Capital market, Time-series analysis
Abstrakt
Chapter 13 specifies that some main capital market indices in Poland, which have been thought to contain unit roots, display asymmetric adjustment towards long-run equilibrium. The parameters of constant and linear trend attractors are estimated. The inference is based on threshold and momentum threshold autoregressive models. (fragment of text)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
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Bibliografia
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  1. Balke N. S., Fomby T. B. (1997), Threshold Cointegration, International Economic Review, 38, 627-645.
  2. Bee F., Ben-Salem M., Carrasco M. (2004), Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship, Journal of Business and Economic Statistics, 22, 382-395.
  3. Caner M., Hansen B. E. (2001), Threshold Autoregression with a Unit Root, Econometrica, 69, 1555-1596.
  4. Carrion-i-Silvestre J. L., Sanso-i-Rosseló A., Ortuño M. A. (2001), Unit Root and Stationarity Tests' Wedding, Economics Letters, 70, 1-8.
  5. Chan K. C., Gup B. E., Pan M.-S. (1997), International Stock Market Efficiency and Integration: A Study of Eighteen Nations, Journal of Business Finance and Accounting, 24, 803-813.
  6. Chan K. S. (1993), Consistency and Limiting Distribution of Least Squares Estimator of a Threshold Autoregressive Model, Annals of Statistics, 21, 520-533.
  7. Cook S., Manning N. (2003), 'The Power of the Asymmetric Unit Root Tests under Threshold and Consistent-Threshold Estimation, Applied Economics, 35, 1543-1550.
  8. Czekaj J., Woś M., Żarnowski J. (2001), Efektywność giełdowego rynku akcji w Polsce. Z perspektywy dziesięciolecia, (Efficiency of the Stock Market in Poland. From the Ten Years' Perspective), Warszawa: Wydawnictwo Naukowe PWN.
  9. Enders W. (2001), Improved Critical Values for the Enders-Granger Unit-Root Test, Applied Economic Letters, 8, 257-261.
  10. Enders W., Dibooglu S. (2002), Long-Run Purchasing Power Parity with Asymmetric Adjustment, Southern Economic Journal, 68, 433-445.
  11. Enders W., Granger C. W. J. (1998), Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates, Journal of Business and Economic Statistics, 16, 304-311.
  12. Enders W., Siklos P. L. (2001), Cointegration and Threshold Adjustment, Journal of Business and Economic Statistics, 19, 166-176.
  13. Greene W. H. (2004), Econometric Analysis, Upper Saddle River: Prentice Hall.
  14. Kębłowski P., Welfe A. (2004), 'The ADF-KPSS Test of Joint Confirmation Hypothesis of Unit Autoregressive Root, Economics Letters, 85, 257-263.
  15. Kwiatkowski D., Phillips P. C. B., Schmidt P., Shin Y. (1992), Testing the null Hypothesis of Stationarity against the Alternative of a Unit Root, Journal of Econometrics, 54, 157-178.
  16. Lanne M., Saikkonen P. (2002), 'Threshold Autoregressions for Strongly Autocorrelated Time Series, Journal of Business and Economic Statistics, 20, 282-289.
  17. Pippenger M. K., Goering G. E. (1993), A Note on the Empirical Power of Unit Root Tests under Threshold Processes, Oxford Bulletin of Economics and Statistics, 55, 473-481.
  18. Shin D. W., Lee D. (2001), Tests for Asymmetry in Possibly Nonstationary Time Series Data, Journal of Business and Economic Statistics, 19, 233-244.
  19. Tong H. (1983), Threshold Models in Non-Linear Time Series Analysis, New York: Springer Verlag.
  20. Tsay R. S. (1989), Testing and Modeling Threshold Autoregressive Processes, Journal of the American Statistical Association, 84, 231-240.
  21. Voronkova S. (2004), Equity Market Integration in Central European Equity Markets: A Cointegration Analysis with Shifting Regimes, International Review of Financial Analysis, 13, 633-647.
  22. Yang J., Min I., Li Q. (2003), European Stock Market Integration: Does EMU Matter?, Journal of Business Finance and Accounting, 30, 1253-1276.
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Język
eng
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