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Time-Localized Wavelet Multiple Regression and Correlation : Eurozone Stock Markets Across Scales and Time

Fernandez-Macho, Javier - 2020

This paper extends wavelet methodology to handle co-movement dynamics of multivariate time series via moving weighted … regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard …

Persistent link: https://www.econbiz.de/10012854086

Time-frequency co-movement of cryptocurrency return and volatility : evidence from wavelet coherence analysis

Qiao, Xingzhi; Zhu, Huiming; Hau, Liya - In: International review of financial analysis 71 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012436392

Multiscale stock-bond correlation : implications for risk management

Al Rababa'a, Abdel Razzaq; Alomari, Mohammad; McMillan, … - In: Research in international business and finance 58 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013286286

Multivariate co-movement between Islamic stock and bond markets among the GCC : a wavelet-based view

Aloui, Chaker; Jammazi, Rania; Ben Hamida, Hela - In: Computational economics 52 (2018) 2, pp. 603-626

Persistent link: https://www.econbiz.de/10012053011

Co-movements and contagion between international stock index futures markets

Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Empirical economics : a journal of the Institute for … 52 (2017) 4, pp. 1529-1568

Persistent link: https://www.econbiz.de/10011945853

Do gulf stock markets share time varying connectedness

Saeed, Tareq; Nautiyal, Neeraj; Ur Rehman, Mobeen; … - In: Applied economics 55 (2023) 48, pp. 5700-5718

Persistent link: https://www.econbiz.de/10014335664

Impact of Brexit on Islamic stock markets : employing MGARCH-DCC and wavelet correlation analysis

Çıkıryel, Burak; Aslan, Hakan; Özdemir, Mücahit - In: International journal of Islamic and Middle Eastern … 15 (2022) 1, pp. 179-202

Persistent link: https://www.econbiz.de/10012884559

Analysing time varying co-movements among the US and BRICS stock markets

Lakshmi, P.; Visalakshmi, S.; Manickavasagam, Jeevananthan - In: International Journal of Financial Markets and … 8 (2022) 3, pp. 275-289

Persistent link: https://www.econbiz.de/10013255834

Asymmetric dynamic conditional copula correlation and fundamental determinants of interest rate comovement

Gupta, Priyanshi; Sehgal, Sanjay - In: Journal of economic integration : jei 34 (2019) 4, pp. 667-704

Persistent link: https://www.econbiz.de/10012137329

Temporal and spectral dependence between crude oil and agricultural commodities : a wavelet-based copula approach

Yahya, Muhammad; Oglend, Atle; Dahl, Roy Endré - In: Energy economics 80 (2019), pp. 277-296

Persistent link: https://www.econbiz.de/10012172436