On Markov error‐correction models, with an application to stock prices and dividends

By Zacharias Psaradakis, M. Solá, Fabio Spagnolo. 2004

201 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/98200b16833c67bc2389866a93b5755f5248c60b

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In Accounting

1. Emmanouil Trachanas
2. C. Katrakilidis

In Economics and Econometrics

1. Emmanouil Trachanas
2. C. Katrakilidis

In Finance

1. Emmanouil Trachanas
2. C. Katrakilidis

Citations in the corpus

• ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS (2010, unknown): “…and Peel (1997) for the application in purchasing power parity, Anderson (1997) on the term structure model of interest rates, Escribano (2004) on money demand, Psaradakis, Sola, and Spagnolo (2004) on relation between stock prices and dividends, and Sephton (2003) on spatial market arbitrage.”
• What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration (2012, methodology): “The technique was advanced by Shin et al. (2011) and is an asymmetric expansion of the above mentioned linear ARDL model.”
• Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2013, unknown): “…is typically confined to the error correction mechanism and estimation proceeds on the basis of either the threshold ECM associated with Balke and Fomby (1997), the Markov-Switching ECM of Psaradakis et al. (2004) or the smooth transition regression ECM developed by Kapetanios et al. (2006).”