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Are stock price reversals really asymmetric? A note

โœ Scribed by Gishan Dissanaike

Book ID
116134967
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
637 KB
Volume
20
Category
Article
ISSN
0378-4266

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๐Ÿ“œ SIMILAR VOLUMES

Asymmetric price transmission within the
Asymmetric price transmission within the Portuguese stock market
โœ Rui Menezes; Andreia Dionisio; Diana A. Mendes ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 169 KB

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