Search Results - subject:"Wavelet squared coherence"

On the interplay between US sectoral CDS, stock and VIX indices : fresh insights from wavelet approaches

Shahzad, Syed Jawad Hussain; Aloui, Chaker; Jammazi, Rania - In: Finance research letters 33 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012430932

The lead-lag relationship between US industry-level credit and stock markets

Shahzad, Syed Jawad Hussain; Safwan Mohd Nor; Sanusi, … - In: Journal of Economic Studies 44 (2017) 4, pp. 518-539

credit counterparts to model the dynamic dependence and casual nexuses using time-frequency approach, namely, wavelet squared … coherence (WTC). Findings The WTC estimation results show that credit and stock markets are out of phase (counter cyclical) and …

Persistent link: https://www.econbiz.de/10014864103

The lead-lag relationship between US industry-level credit and stock markets

Shahzad, Syed Jawad Hussain; Safwan Mohd Nor; Nur Azura … - In: Journal of economic studies 44 (2017) 4, pp. 518-539

Persistent link: https://www.econbiz.de/10011960865