Bull or bear markets: A wavelet dynamic correlation perspective

In this paper, we contribute to the literature on the international stock market co-movements and contagion, especially during the recent subprime crisis, by researching the interconnections between international stock markets in time-frequency domain.

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Year of publication:	2013
Authors:	Benhmad, François
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 32.2013, C, p. 576-591
Publisher:	Elsevier
Subject:	Contagion \| Financial markets \| Market heterogeneity \| Wavelets

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Type of publication:	Article
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; F3 - International Finance ; F4 - Macroeconomic Aspects of International Trade and Finance ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010664401