Multivariate cointegration analysis of the Finnish-Japanese stock markets

European Journal of Operational Research

Volumn 134, Issue 3, 2001, Pages 498-507

  Östermark, Ralf ^a  

^a ÅBO AKADEMI UNIVERSITY   (Finland)

Author keywords

International interdependence; Multivariate and bivariate cointegration analysis; Stock market and monetary information

Indexed keywords

ECONOMICS; ERROR CORRECTION; FINANCE;

MULTIVARIATE COINTEGRATION ANALYSIS; STOCK MARKETS;

OPERATIONS RESEARCH;

EID: 0035502109     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(00)00272-1     Document Type: Article

References (21)

1. Long-term relationships between international share prices
2. Cointegration and error correction: Representation, estimation and testing
3. Developments in the study of cointegrated economic variables
4. The Fisher effect and Australian interest rates
5. Maximum likelihood estimation and inference on cointegration with applications to money demand
6. Testing structural hypothesis in a multivariate cointegration analysis of the PPP and UIP for the UK
7. On the causality and co-movements of Scandinavian stock market returns
8. A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages
9. Using a VECM to test exogeneity and forecastability in the PPP condition
10. Modelling cointegrated processes by a vector-valued state space algorithm. Evidence on the impact of Japanese stock prices on the Finnish derivatives market
11. Multivariate Granger causality in international asset pricing
12. Comparison of univariate and multivariate Granger causality in international asset pricing
13. State space modelling and spectral analysis of cointegrating vector processes. Evidence from the US and Scandinavian economies
14. The asymptotic distribution of the maximum likelihood cointegration rank test statistics
15. A multivariate cointegration approach to the determination of reserves and money balances in India
16. Testing for a unit root in time series regression
17. Comparisons of tests for multivariate cointegration
18. Sources of fluctuation in relative prices: Evidence from high inflation countries