Retrieving the vanishing liquidity effect - A threshold vector autoregressive model

Journal of Economics and Business

Volumn 51, Issue 3, 1999, Pages 259-277

  Shen, Chung Hua ^b   Chiang, Thomas Chi Nan ^a  

^a NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

^b NONE

Author keywords

Liquidity effect; Nonlinear impulse response function; Threshold vector autoregressive model

Indexed keywords

EID: 0042019333     PISSN: 00129933     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0148-6195(98)00021-6     Document Type: Article

References (6)

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