A multivariate cointegration time series model and its applications in analysing stock markets in China
This paper explores nonlinear cointegration between Chinese mainland stock markets and Hong Kong stock market in a multivariate framework for the period January, 1998 to December, 2014 by a nonparametric method. The local linear kernel smoothing method is developed to estimate the unknown function,...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2020-01-01
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| Series: | Ekonomska Istraživanja |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/1331677X.2020.1711792 |