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- W1995385306 abstract "The financial markets in London and Amsterdam were some of the first to develop. Using threshold autoregressive models, we use data on two commonly traded stocks in these cities to show that the joint behaviour of the prices is consistent with the theory of arbitrage in the presence of transportation costs. The results suggest that prices converged more quickly as the price difference between the two markets increased. We also show that the threshold estimates are consistent between assets and across time. These results provide some of the earliest evidence of nonlinear mean reversion in asset prices in geographically separate financial markets." @default.
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- W1995385306 date "2014-11-26" @default.
- W1995385306 modified "2023-09-23" @default.
- W1995385306 title "Nonlinear integration of London and Amsterdam stock markets in the 1700s" @default.
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- W1995385306 doi "https://doi.org/10.1080/00036846.2014.985369" @default.
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