Common Components in Co-integrated System and Its Estimation and Application: Evidence from Five Stock Markets in Asia-Pacific Chinese Region
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Keywords
Co-integration; Error Correction Model (ECM); Common Component; Quah’s Decomposition Theorem.;All these keywords.
JEL classification:
- F30 - International Economics - - International Finance - - - General
- F65 - International Economics - - Economic Impacts of Globalization - - - Finance
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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