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Price dynamics on a stock market with asymmetric information

✍ Scribed by Bernard De Meyer

Book ID
116506233
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
561 KB
Volume
69
Category
Article
ISSN
0899-8256

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πŸ“œ SIMILAR VOLUMES

Asymmetric price transmission within the
Asymmetric price transmission within the Portuguese stock market
✍ Rui Menezes; Andreia Dionisio; Diana A. Mendes πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 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