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Volumn 21, Issue 1, 2003, Pages 40-53

Bilateral and Multilateral Cointegration Properties Between the German And Central European Equity Markets

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EID: 84993088482     PISSN: 10867376     EISSN: None     Source Type: Journal    
DOI: 10.1108/eb028768     Document Type: Review
Times cited : (21)

References (20)
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    • Arshanapalli, B.1    Doukas, J.2
  • 3
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    • Economic forces and the stock market: An international perspective
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    • Bodurtha, J.N.1    Cho, D.C.2    Senbet, L.W.3
  • 5
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    • Predictable stock returns in the United States and Japan: a study of long-term capital market integration
    • Campbell, J. Y. and Y. Hamao, 1992. Predictable stock returns in the United States and Japan: a study of long-term capital market integration, Journal of Finance 47,43-70.
    • (1992) Journal of Finance , vol.47 , pp. 43-70
    • Campbell, J.Y.1    Hamao, Y.2
  • 6
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey, D., and W. Fuller, 1979. Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association 74, 427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.1    Fuller, W.2
  • 7
    • 84993003981 scopus 로고
    • Co-integration and error correction: representation, estimation, testing, Econometrica.
    • Engle, R. F. and C. W. J. Granger, 1987. Co-integration and error correction: representation, estimation, testing, Econometrica 55, 251-276.
    • (1987) , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 8
    • 45949119851 scopus 로고
    • Forecasting and testing in cointegrated systems
    • Engle, R. F. and B. Yoo, 1987. Forecasting and testing in cointegrated systems, Journal of Econometrics 35, 143-159.
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    • Engle, R.F.1    Yoo, B.2
  • 9
    • 0036509725 scopus 로고    scopus 로고
    • International portfolio diversification: US and Central European equity markets, Emerging Markets Review.
    • Gilmore, C. G., and G. M. McManus, 2002. International portfolio diversification: US and Central European equity markets, Emerging Markets Review 3, 69-83.
    • (2002) , vol.3 , pp. 69-83
    • Gilmore, C.G.1    McManus, G.M.2
  • 10
    • 0000351727 scopus 로고
    • Investigating causal relations by econometric models and crossspectral methods, Econometrica.
    • Granger, C. W. J., 1969. Investigating causal relations by econometric models and crossspectral methods, Econometrica 37, 424-438.
    • (1969) , vol.37 , pp. 424-438
    • Granger, C.W.J.1
  • 20
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    • M. Papaioannou and G. Tsetsekos, eds., Emerging Markets Portfolios: Diversification and Hedging Strategies. (Chicago: Irwin).
    • Tsetsekos, G., 1997. Co-integration and the investment horizon in emerging capital markets. M. Papaioannou and G. Tsetsekos, eds., Emerging Markets Portfolios: Diversification and Hedging Strategies. (Chicago: Irwin).
    • (1997) Co-integration and the investment horizon in emerging capital markets
    • Tsetsekos, G.1


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