Tilfani, Oussama; Ferreira, Paulo; Dionísio, Andreia … - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-23
For this paper, we dynamically analysed the comovements between three major stock markets-Germany, the UK, and the US-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were...