Persistent cointegration and regime-sensitive market leadership: Evidence from international tobacco stocks
This paper develops a data-driven framework combining fractional cointegration and structural break detection to examine long-run interdependence and market leadership among international tobacco equities. Using weekly data from May 2008 to October 2024 for Philip Morris International, Altria, Briti...
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| Autori principali: | , , , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
KeAi Communications Co., Ltd.
2025-12-01
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| Serie: | Journal of Finance and Data Science |
| Soggetti: | |
| Accesso online: | http://www.sciencedirect.com/science/article/pii/S2405918826000036 |
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