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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402
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Contagion among Central and Eastern European stock markets during the financial crisis
Baruník, Jozef; Vácha, Lukáš - In: Finance a úvěr 63 (2013) 5, pp. 443-453
Persistent link: https://www.econbiz.de/10010244833
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Nonlinear dynamics and recurrence plots for detecting financial crisis
Addo, Peter Martey; Billio, Monica; Guégan, Dominique - In: The North American journal of economics and finance : a … 26 (2013), pp. 416-435
Persistent link: https://www.econbiz.de/10010367574
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Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
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Comovement and disintegration of EU sovereign bond markets during the crisis
Vácha, Lukáš; Šmolík, Filip; Baxa, Jaromír - In: International review of economics & finance : IREF 64 (2019), pp. 541-556
Persistent link: https://www.econbiz.de/10012372853
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - In: International review of economics & finance : IREF 42 (2016), pp. 186-201
Persistent link: https://www.econbiz.de/10011625108
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"Wavelet-based" early warning signals of financial stress : an application to IMF's AE-FSI
Gallegati, Marco; Gallegati, Mauro; Ramsey, James B.; … - In: Dynamic modeling, empirical macroeconomics, and finance …, (pp. 195-220). 2016
Persistent link: https://www.econbiz.de/10011627984
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Contagion among select global equity markets : a time-frequency analysis
Bhandari, Avishek; Kamaiah, Bandi - In: Global economy journal : GEJ 19 (2019) 4, pp. 1950023-1-29
Persistent link: https://www.econbiz.de/10012214476
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Is a more financially open world riskier?
Stolbov, Michail I. - In: International economics : a journal published by CEPII … 157 (2019), pp. 99-116
Persistent link: https://www.econbiz.de/10012318693