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Volatility transmission across markets : a multichain Markov switching model
Gallo, Giampiero M.; Otranto, Edoardo - In: Applied financial economics 17 (2007) 7/9, pp. 659-670
Persistent link: https://www.econbiz.de/10003491212
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Fractional integration in the equity markets of MENA region
Assaf, A. - In: Applied financial economics 17 (2007) 7/9, pp. 709-723
Persistent link: https://www.econbiz.de/10003491224
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Stock return dynamics and stock market interdependencies
Tsouma, Ekaterini - In: Applied financial economics 17 (2007) 10/12, pp. 805-825
Persistent link: https://www.econbiz.de/10003537547
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Testing for market segmentation in the A and B share markets of China
Chelley-Steeley, Patricia L.; Qian, Weihua - In: Applied financial economics 15 (2005) 11, pp. 791-802
Persistent link: https://www.econbiz.de/10003016844
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International transmissions in US-Japanese stock markets
Ishii, Youta - In: Applied financial economics 18 (2008) 13/15, pp. 1193-1200
Persistent link: https://www.econbiz.de/10003760240
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Market integration and extreme co-movements in APEC emerging equity markets
Li, Xiaoming; Rose, Lawrence Craig - In: Applied financial economics 18 (2008) 1/3, pp. 99-113
Persistent link: https://www.econbiz.de/10003739002
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Reassessing co-movements among G7 equity markets : evidence from iShares
Barari, Mahua; Lucey, Brian M.; Voronkova, Svitlana - In: Applied financial economics 18 (2008) 10/12, pp. 863-877
Persistent link: https://www.econbiz.de/10003739447
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Time-varying conditional depedence in Chinese stock markets
Ané, Thierry; Ureche-Rangau, Loredana; Labidi-Makni, Chiraz - In: Applied financial economics 18 (2008) 10/12, pp. 895-916
Persistent link: https://www.econbiz.de/10003739506
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Capital market integration : evidence from the G7 countries
Morelli, David - In: Applied financial economics 19 (2009) 13/15, pp. 1043-1057
This article examines whether the capital markets of the G7 countries are integrated. Capital market integration is examined under the joint hypothesis of an international multifactor asset pricing model. International factors are extracted from a world portfolio using both maximum likelihood...
Persistent link: https://www.econbiz.de/10003885998
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Spillovers and correlations between US and major European stock markets : the role of the euro
Savva, Christos S.; Osborn, Denise R.; Gill, Len - In: Applied financial economics 19 (2009) 19/21, pp. 1595-1604
, Frankfurt and Paris stock markets. After controlling for possible returns and volatility spillovers, we focus on the … correlations of shocks using the framework of Dynamic Conditional Correlations (DCC). Daily pseudo-closing prices (recorded at 16 … introduction of the euro significantly affects the cross-market correlations. Although dynamic correlations of shocks between all …
Persistent link: https://www.econbiz.de/10003904304