Application of Vector Error Correction Model (VECM) and Impulse Response Function for Daily Stock Prices

Vector Error Correction Model is a cointegrated VAR model. This idea of Vector Error Correction Model (VECM), which consists of a VAR model of the order p - 1 on the differences of the variables, and an error-correction term derived from the known (estimated) cointegrating relationship. Intuitively,...

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Veröffentlicht in:	Journal of physics. Conference series 2021-01, Vol.1751 (1), p.12016
Hauptverfasser:	Winarno, S., Usman, M., Warsono, Kurniasari, D., Widiarti
Format:	Artikel
Sprache:	eng
Schlagworte:	Error correction Error correction & detection Granger Causality Impulse response Impulse Response Function Physics Response functions Stocks VAR VECM
Online-Zugang:	Volltext
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