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Common long-term and short-term price memory in two Scandinavian stock markets

https://doi.org/10.1080/096031098333014
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Statistical analysis of cointegration vectors
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An analysis of lead-lag structures using a frequency domain approach: Empirical evidence from the Finnish and Swedish stock markets
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International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States
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Local and global price memory of international stock markets
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Measurement of Linear Dependence and Feedback Between Multiple Time Series
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Computation of a monthly index for Swedish stock returns 1919–1989
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A Fractional Cointegration Analysis of Purchasing Power Parity
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Long Memory in Inflation Rates: International Evidence
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The international co-movements of Finish stocks
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Fractional Differencing
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AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES
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The Determination of the Order of an Autoregression
inferredcites →https://doi.org/10.1214/aos/1176344136openalex-snapshot
Estimating the Dimension of a Model
inferredcites →https://doi.org/10.2307/1392517openalex-snapshot
A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada
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Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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Co-Integration and Error Correction: Representation, Estimation, and Testing
inferredcites →https://doi.org/10.2307/2329414openalex-snapshot
Time-Varying World Market Integration

What points at this work

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Long-run relationships between international stock prices: further evidence from fractional cointegration tests
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European Stock Market Integration: Does EMU Matter?
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Are Daily Stock Price Indices in the Major European Equity Markets Cointegrated? Tests and Evidence
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Exchange Rate Shocks and Firm Competitiveness in a Small, Export-Oriented Economy: The Case of Finland
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Long-Term Relationships Between Mutual Funds and Equity Market
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European Nordic Countries Stock Market Listed Companies': Factor and Cluster Analysis Approach
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