Interdependence of Leading Western and East-European Stock Market Indices : Cointegration Analysis
The idea of the research is based on an analysis of common stochastic trends existing among the analysed time series. In the case of cointegration this means that within a system consisting of p nonstationary series, there exist r cointegrating relations, which connect p variables by linear dependence, but the nonstationary character of variables is caused by the existing rp- common stochastic trends. Having assumed that we do have a case of cointegration, the estimated vector can be treated as an attractor, which illustrates economic dependence amongst time series under study.(fragment of text)
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