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Keywords: Cointegration
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Journal Articles
Phase-wise analysis of dynamic relationship among gold, crude oil, US dollar and stock market
Available to Purchase
Journal of Advances in Management Research (2018) 15 (4): 480–499.
Published: 17 August 2018
... context. Design/methodology/approach The authors use Johansen’s cointegration technique, Vector Error Correction Model (VECM), Vector Auto Regression, VEC Granger Causality/Block Exogeneity Wald Test, and Granger Causality and Toda Yamamoto modified Granger causality to study long-run relationship...
Journal Articles
Dynamic linkages among developed, emerging and frontier capital markets of Asia-Pacific region
Available to Purchase
Journal of Advances in Management Research (2017) 14 (3): 332–351.
Published: 07 August 2017
... and Andrews’ unit root test is used to examine the existence of unit root in index series in the presence of a structural break. Gregory and Hansen’s test of cointegration is employed to examine the stable long-run relationship between the indices under study. Findings The results suggest...
