Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective
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- Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
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More about this item
KeywordsCointegration; Threshold vector error correction model; Cross-correlation; R/S method;
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