Asymmetry in the Adjustment of Main Capital Market Indices in Poland

• Autorzy: Paweł Miłobędzki
• Języki publikacji: EN

Abstrakty

EN

Chapter 13 specifies that some main capital market indices in Poland, which have been thought to contain unit roots, display asymmetric adjustment towards long-run equilibrium. The parameters of constant and linear trend attractors are estimated. The inference is based on threshold and momentum threshold autoregressive models. (fragment of text)

Słowa kluczowe

EN

Capital market; Autoregression models; Time-series analysis

PL

Rynek kapitałowy; Modele autoregresji; Analiza szeregów czasowych

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 2 Financial markets : principles of modeling forecasting and decision-making
• Strony: 221--239

Twórcy

autor

Paweł Miłobędzki

• University of Gdansk, Poland

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