Co-movement of ASEAN stock markets : new evidence from wavelet and VMD-based copula tests
Year of publication: |
August 2017
|
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Authors: | Jiang, Yonghong ; Nie, He ; Monginsidi, Joe Yohanes |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 64.2017, p. 384-398
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Subject: | ASEAN stock markets | Comovement | Wavelet coherency | Copula | Variational modes decomposition | Aktienmarkt | Stock market | Multivariate Verteilung | Multivariate distribution | ASEAN-Staaten | ASEAN countries | Zustandsraummodell | State space model | Börsenkurs | Share price | Korrelation | Correlation | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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