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Goohoon Kwon and Mr. Raphael A Espinoza

assess the extent of financial integration for emerging markets is less common. Levy Yeyati et al. (2006) estimate the Auto-Regressive dynamics (AR) of the cross-market premium, i.e. the premium between the prices of two identical stocks traded in two different markets. Since it is known that standard AR regressions underestimate convergence speeds in presence of non-linearities, the authors also use of a Threshold Auto-Regressive model (TAR). They use data of stocks listed in several emerging markets that are also cross-listed in the U.S., and estimate that the