Gooijer, Jan G. De; Sivarajasingham, Selliah - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 11, pp. 2547-2560
This study investigates long-term linear and nonlinear causal linkages among eleven stock markets, six industrialized markets and five emerging markets of South-East Asia. We cover the period 1987–2006, taking into account the on-set of the Asian financial crisis of 1997. We first apply a test...