Asymmetric price transmission within the Portuguese stock market

Rui Menezes (), Andreia Dionisio and Diana A. Mendes

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 312-316

Abstract: 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 roots and cointegration tests in the presence of asymmetric adjustment.

Keywords: Asymmetric price transmission; Threshold adjustment; Cointegration (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:312-316

DOI: 10.1016/j.physa.2004.06.141

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