Asimakopoulos, Ioannis; Goddard, John; Siriopoulos, Costas - In: Applied Financial Economics 10 (2000) 1, pp. 41-47
This paper uses spectral analysis to examine interrelationships between the daily returns generated by one US (S&P 500) and three major European (FTSE 100, DAX 30, CAC 40) share price indices. Evidence is found of strong interdependence between the European returns series, as well as a lead-lag...
