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European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 : a comparative DCC-GARCH and wavelet correlation analysis

Dajcman, Silvio; Festić, Mejra; Kavkler, Alenka - In: Applied economics letters 19 (2012) 13/15, pp. 1249-1256

Persistent link: https://www.econbiz.de/10009680562

Time-scale relationship between securitized real estate and local stock markets : some wavelet evidence

Liow, Kim Hiang; Zhou, Xiaoxia; Li, Qiang; Huang, Yuting - In: Journal of risk and financial management : JRFM 12 (2019) 1/16, pp. 1-23

-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important … relationship between the two asset markets is time–frequency varying. The average long run real estate–stock correlation fails to … outweigh the average short run correlation, indicating the real estate markets examined may have become increasingly less …

Persistent link: https://www.econbiz.de/10011961522

How does uncertainty affect volatility correlation between financial assets? : evidence from bitcoin, stock and gold

Li, Zheng-Zheng; Su, Chi-Wei; Zhu, Meng Nan - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 9, pp. 2682-2694

Persistent link: https://www.econbiz.de/10013354990

Volatility spillover effects between oil and GCC stock markets : a wavelet-based asymmetric dynamic conditional correlation approach

Thuy Tien Ho; Ngo Thai Hung - In: International journal of Islamic and Middle Eastern … 15 (2022) 6, pp. 1127-1149

Persistent link: https://www.econbiz.de/10014337182

Time-frequency comovements between environmental cryptocurrency sentiment and faith-based sectoral stocks

Bossman, Ahmed; Gubareva, Mariya; Agyei, Samuel Kwaku; … - In: International review of economics & finance : IREF 91 (2024), pp. 699-719

Persistent link: https://www.econbiz.de/10014492252

Autocorrelation in an unobservable global trend : does it help to forecast market returns?

Peresetsky, Anatoly A.; Yakubov, Ruslan I. - In: International journal of computational economics and … 7 (2017) 1/2, pp. 152-169

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Exceedance correlation tests for financial returns

Chen, Yi-ting - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 581-616

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Pricing the correlation skew with normal mean-variance mixture copulas

Luján Fernández, Ignacio - In: The journal of computational finance 26 (2022) 2, pp. 83-99

Persistent link: https://www.econbiz.de/10013549659

The impact of Twitter-based sentiment on US sectoral returns

Zeitun, Rami; Ur Rehman, Mobeen; Ahmad, Nasir; Xuan Vinh Vo - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014246833

Semiparametric generalized long-memory modeling of some mena stock market returns : a wavelet approach

Boubaker, Heni; Sghaier, Nadia - In: Economic modelling 50 (2015), pp. 254-265

Persistent link: https://www.econbiz.de/10011440563