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A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test

  • Published:2018-01 Issue: Volume:490 Page:1211-1227
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Polanco-Martínez J.M.,Fernández-Macho J.,Neumann M.B.,Faria S.H.

Funder

Basque Government

UPV/EHU Econometrics Research Group

Spanish Ministry of Economy, Industry and Competitiveness

Ministry of Economy and Competitiveness of Spain

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference74 articles.

1. The structure of interdependence in international stock markets;Bessler;J. of International Money and Finance,2003

2. On the integrated behaviour of non-stationary volatility in stock markets;Dionisio;Physica A,2007

3. A wavelet-based approach to test for financial market contagion;Gallegati;Comput. Stat. Data Anal.,2012

4. European stock market integration: does EMU matter?;Yang;J. of Business Finance & Accounting,2003

5. Why does the Euro fail? The DCCA approach;Ferreira;Physica A,2016

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