Asymmetry in the Adjustment of Main Capital Market Indices in Poland

Paweł Miłobędzki ()
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Paweł Miłobędzki: University of Gdansk, Poland

Chapter 13 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 221-239 from University of Lodz

Abstract: Chapter 13 specifies that some main capital market indices in Poland, which have been thought to contain unit roots, display asymmetric adjustment towards long-run equilibrium. The parameters of constant and linear trend attractors are estimated. The inference is based on threshold and momentum threshold autoregressive models.

Keywords: Capital market; Autoregression models; Time-series analysis (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2006:n:02:ch:13:mon

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