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Measuring market integration in the presence of transaction costs–a threshold vector error correction approach
14 references·4 citing·33 second hop
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this work references cited by second hop

References

  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 1997Threshold Cointegration1,042 cited
  • 2002Testing for two-regime threshold cointegration in vector error-correction models847 cited
  • 2004Asymmetric Price Transmission: A Survey843 cited
  • 1997Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited560 cited
  • 2001Spatial Market Integration in the Presence of Threshold Effects505 cited
  • 1999Testing for Linearity451 cited
  • 2001THRESHOLD COINTEGRATION AND NONLINEAR ADJUSTMENT TO THE LAW OF ONE PRICE431 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates380 cited
  • 2002Distinguishing between Equilibrium and Integration in Spatial Price Analysis363 cited
  • 1998Estimating asymmetric price transmission with the error correction representation: An application to the German pork market348 cited
  • 2001Measuring Integration and Efficiency in International Agricultural Markets206 cited
  • 2002Using threshold cointegration to estimate asymmetric price transmission in the Swiss pork market205 cited
  • 1916Växelkursens grundval vid pappersmyntfot99 cited

Cited by

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  • 2007Asymmetric price transmission in the Spanish lamb sector103 cited
  • 2009The impact of market and policy instability on price transmission between wheat and flour in Ukraine84 cited
  • 2007Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach33 cited
  • 2019Nonlinear time series in R: Threshold cointegration with tsDyn10 cited