A Time Series Analysis of the Shanghai and New York Stock Price Indices
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References listed on IDEAS
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- Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011.
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More about this item
KeywordsTime series analysis; Rate of return; Volatility; Autoregressions; Granger causality; Spurious correlation; Shanghai stock price; New York stock price;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G1 - Financial Economics - - General Financial Markets
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