Continuous wavelet transform and rolling correlation of European stock markets
Aviral Kumar Tiwari, Mihai Ioan Mutascu, Claudiu Tiberiu Albulescu
| Year of publication: |
March 2016
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|---|---|
| Authors: | Tiwari, Aviral Kumar ; Mutascu, Mihai ; Albulescu, Claudiu Tiberiu |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 42.2016, p. 237-256
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| Subject: | Portfolio risk management | Co-movements | Wavelet transform | Rolling wavelet correlation | European stock markets | Korrelation | Correlation | Zustandsraummodell | State space model | Aktienmarkt | Stock market | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Volatilität | Volatility | Europa | Europe | Zeitreihenanalyse | Time series analysis | EU-Staaten | EU countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.12.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011625112