On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries-Reference-Cited by-同舟云学术

On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries

Published:2012-11 Issue:4 Volume:52 Page:369-384
ISSN:1062-9769
Container-title:The Quarterly Review of Economics and Finance
language:en
Short-container-title:The Quarterly Review of Economics and Finance

Author:

Menezes Rui,Dionísio Andreia,Hassani Hossein

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference53 articles.

1. Practical financial econometrics—Market risk analysis II;Alexander,2008

2. Measuring international economic linkages with stock market data;Ammer;Journal of Finance,1996

3. The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan stock exchange;Ammermann;Pacific-Basin Finance Journal,2003

4. Warranted multiples and future returns;An;Journal of Accounting, Auditing and Finance,2010

5. Common stochastic trends in a system of Eurocurrency rates;Arshanapalli;Journal of Banking and Finance,1994

Cited by 23 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Volatility and International Interactions in Financial Markets: An Analysis of the Turkish Stock Exchange and G7 Countries;Trends in Business and Economics;2024-04-22

2. The effects of uncertainty on the dynamics of stock market interdependence: Evidence from the time-varying cointegration of the G7 stock markets;Journal of International Money and Finance;2023-12

3. Spillover Effects in the Presence of Structural Breaks, Persistence and Conditioned Heteroscedasticity;Annals of Financial Economics;2023-03-10

4. Socioeconomic development and sustainable development in Nigeria: the roles of poverty reduction and social inclusion;Journal of Business and Socio-economic Development;2022-09-27

5. An Analysis of the Volatility Index With the Vector Error Correction Model;Handbook of Research on Stock Market Investment Practices and Portfolio Management;2022-06-30