Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A. - BANCOLOMBIA
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KeywordsAmerican Depositary Receipts; stationarity tests; cointegration; vector error correction model; impulse response functions; forecast error variance decomposition;
All these keywords.
- 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
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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