Empirical Analysis of Persistence and Dependence Patterns Among the Capital Markets

This paper investigates dependence structures on selected world stock markets. Firstly, a non-parametric univariate measure of a persistence concerning capital markets efficiency is derived and computed. Secondly, we focus on computing of a non-parametric multivariate measure of the persistence indicating an ability of the price mechanisms to hold capital market efficiency under interaction of shocks.

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Year of publication:	2006
Authors:	Vošvrda, Miloslav
Published in:	Prague Economic Papers. - Vysoká Škola Ekonomická v Praze, ISSN 1210-0455. - Vol. 2006.2006, 3, p. 231-242
Publisher:	Vysoká Škola Ekonomická v Praze
Subject:	dependence structure \| shock transmission \| non-parametric univariate ? multivariate measures of the shock persistence

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Extent:	text/html
Type of publication:	Article
Language:	English
Classification:	C13 - Estimation ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005036495