Caiado, Jorge; Crato, Nuno; Peña, Daniel - Volkswirtschaftliche Fakultät, … - 2007
series. A periodogram-based metric for mean and squared returns is used to compute distances between the series. This method … identity that is maintained after 1998. For squared returns, we found a clear change with the introduction of the euro. Up to … within the European Monetary Union are strongly correlated in returns and in squared returns, and that some euro and non …