Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis
暂无分享,去创建一个
[1] Heather J. Ruskin,et al. The reaction of stock markets to crashes and events: A comparison study between emerging and mature markets using wavelet transforms , 2006 .
[2] Firm-Level Evidence on International Stock Market Comovement , 2003 .
[3] Hahn-Shik Lee. International transmission of stock market movements: a wavelet analysis , 2004 .
[4] Mara Madaleno,et al. International stock market indices comovements: a new look , 2012 .
[5] Michael Graham,et al. Integration of 22 emerging stock markets: A three-dimensional analysis , 2012 .
[6] Viviana Fernandez,et al. The CAPM and value at risk at different time-scales , 2006 .
[7] J. B. Ramsey,et al. The analysis of foreign exchange data using waveform dictionaries , 1997 .
[8] M. Omran,et al. Co-movement of oil and stock prices in the GCC region: A wavelet analysis , 2012 .
[9] Mohammed Alzahrani,et al. Systematic Risk and Time Scales: New Evidence from an Application of Wavelet Approach to the Emerging Gulf Stock Markets , 2010 .
[10] Heather J. Ruskin,et al. INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS , 2005 .
[11] A. Tsui,et al. Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States , 2003 .
[12] Lukas Vacha,et al. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis , 2012, 1201.4776.
[13] Lalith P. Samarakoon. Stock Market Interdependence, Contagion, and the U.S. Financial Crisis: The Case of Emerging and Frontier Markets , 2011 .
[14] Bertrand Candelon,et al. On measuring synchronization of bulls and bears: The case of East Asia , 2008 .
[15] H. Levy,et al. International Diversification of Investment Portfolios , 1970 .
[16] Duc Khuong Nguyen,et al. Global Financial Crisis, Extreme Interdependences, and Contagion Effects: The Role of Economic Structure? , 2011 .
[17] António Rua,et al. International comovement of stock market returns: a wavelet analysis , 2009 .
[18] Duc Khuong Nguyen,et al. Return and volatility transmission between world oil prices and stock markets of the GCC countries , 2011 .
[19] A. M. Masih,et al. Systematic Risk and Time Scales: New Evidence from an Application of Wavelet Approach to the Emerging Gulf Stock Markets , 2010 .
[20] Aslak Grinsted,et al. Nonlinear Processes in Geophysics Application of the Cross Wavelet Transform and Wavelet Coherence to Geophysical Time Series , 2022 .
[21] Mikko Ranta,et al. Cross‐dynamics of exchange rate expectations: a wavelet analysis , 2011 .
[22] H. Grubel. Internationally Diversified Portfolios: Welfare Gains and Capital Flows , 1968 .
[23] Michael Graham,et al. Co-movement of the Finnish and international stock markets: a wavelet analysis , 2011 .
[24] J. B. Ramsey,et al. DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS , 1998, Macroeconomic Dynamics.
[25] Maria Joana Soares,et al. Using wavelets to decompose the time–frequency effects of monetary policy , 2008 .
[26] Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study , 2011 .
[27] A. Maghyereh,et al. Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries , 2013 .
[28] A Wavelet Analysis of MENA Stock Markets , 2005 .
[29] R. Gencay,et al. Multiscale systematic risk , 2005 .
[30] Nader Naifar,et al. Nonlinear analysis among crude oil prices, stock markets' return and macroeconomic variables , 2013 .
[31] The Determinants of Cross-Border Equity Flows , 2005 .
[32] M. Hinich,et al. Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets , 2008 .
[33] René M. Stulz,et al. Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements , 1996 .
[34] Global and Regional Spillovers to GCC Equity Markets , 2011 .
[35] Paul S. Addison,et al. The Illustrated Wavelet Transform Handbook Introductory Theory And Applications In Science , 2002 .
[36] Viviana Fernandez. The International CAPM and a Wavelet-Based Decomposition of Value at Risk , 2005 .
[37] P. Webster,et al. Interdecadal changes in the ENSO-monsoon system , 1999 .
[38] Amélie Charles,et al. Large shocks and the September 11th terrorist attacks on international stock markets , 2006 .
[39] Panayiotis Theodossiou,et al. Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Evidence , 1993 .
[40] James B. Ramsey,et al. The Application of Wave Form Dictionaries to Stock Market Index Data , 1996 .
[41] B. Jeon,et al. Dynamic correlation analysis of financial contagion: Evidence from Asian markets , 2007 .
[42] C. Los,et al. Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997 , 2000 .
[43] F. Longin,et al. Extreme Correlation of International Equity Markets , 2000 .
[44] J. C. Rodríguez,et al. Measuring financial contagion:a copula approach , 2007 .
[45] M. Soares,et al. Using wavelets to decompose time-frequency economic relations , 2007 .
[46] Vance L. Martin,et al. Unravelling financial market linkages during crises , 2007 .
[47] F. Longin,et al. Is the Correlation in International Equity Returns Constant: 1960-90? , 1995 .
[48] Mikko Ranta,et al. Contagion among major world markets: a wavelet approach , 2013 .
[49] Campbell R. Harvey,et al. Research in Emerging Markets Finance: Looking to the Future , 2002 .
[50] R. Engle,et al. Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility , 1994 .
[51] Xiaoquan Liu,et al. Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions , 2012, Eur. J. Oper. Res..
[52] Vanja Piljak,et al. The Co‐Movement Dynamics of European Frontier Stock Markets , 2014 .
[53] C. Torrence,et al. A Practical Guide to Wavelet Analysis. , 1998 .
[54] R. Rigobón,et al. No Contagion, Only Interdependence: Measuring Stock Market Comovements , 2002 .