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Original Articles

Cointegration, error correction and Granger causality: an application with Latin American stock markets

Pages 469-471 | Received 22 Apr 1996, Published online: 03 Sep 2008

References

  • Banerjee , A. , Dolado , J. and Hendry , D.F. 1993 . Co-integration, Error-Correction and the Econometric Analysis of Non-stationary Data , Oxford : Oxford University Press .
  • Buckberg , E. 1995 . Emerging stock markets and international asset pricing . The World Bank Economic Review , 9 ( 1 ) : 51 – 74 .
  • Classens , S. , Dasgupta , S. and Glen , J. 1993 . “ Stock price behavior in emerging markets ” . In In Portfolio Investment in Developing Countries , Edited by: Classens and Gooptu . D.C : Washington . World Bank Discussion Paper 228
  • Dickey , D.A. and Fuller , W.A. 1979 . Distribution of the estimators in autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Engle , R.F. and Granger , C.W.J. 1987 . Cointegration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
  • Fama , E.F. and French , K. 1988 . Permanent and temporary components of stock prices . Journal of Political Economy , 96 : 246 – 73 .
  • Lo , A.W. 1991 . Long term memory in stock market prices . Econometrica , 59 : 1279 – 313 .

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