Concepedia

Has there been any change in the comovement between the Chinese and US stock markets?

Bing Zhang, Xiaoming Li

International Review of Economics & Finance · 2013 · 67 citations · 32 references

DOI

Concepts

References

32

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.6K citations

, , +15

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.6K citations

, , +3

Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.3K citations

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 6.9K citations

, , +15

Residual-based tests for cointegration in models with regime shifts

Allan W. Gregory, Bruce E. Hansen · Journal of Econometrics · 1996 · 2.5K citations · Full text

, , +11