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Nonlinear dynamics in CEE stock markets indices

Caraiani, Petre - In: Economics letters 114 (2012) 3, pp. 329-331

Persistent link: https://www.econbiz.de/10009550699

The predictive power of singular value decomposition entropy for stock market dynamics

Caraiani, Petre - In: Physica A: Statistical Mechanics and its Applications 393 (2014) C, pp. 571-578

We use a correlation-based approach to analyze financial data from the US stock market, both daily and monthly observations from the Dow Jones. We compute the entropy based on the singular value decomposition of the correlation matrix for the components of the Dow Jones Industrial Index. Based...

Persistent link: https://www.econbiz.de/10010709973

Non-linear modeling of the impact of the crisis on the interactions among financial markets and macroeconomic variables in CEE countries

Albu, Lucian-Liviu (ed.); Caraiani, Petre (ed.) - 2016

Preface -- Nonlinear modelling of the relation between financial markets and economic growth in the EU / Lucian-Liviu Albu, Radu Lupu, Adrian Cantemir Calin, Institute for Economic Forecasting, Romanian Academy, Romania -- The eastern and central European financial market reaction to...