This study examines the dynamic relationship between the major stock indices of the US, Japan, France and the UK by using the non-linear Granger-causality test. The empirical evidence indicates that there is a strong bi-directional non-linear causal relationship between the US and the others....

The aim of this paper is to identify bubbles in oil prices by using the “exponential fitting” methodology proposed by Watanabe et al. (2007)  [28,29]. We use the daily US dollar closing crude oil prices of West Texas Intermediate (WTI) covering the 1986:01:02–2013:07:09 and the Brent for...

This paper aims to analyze the linkages between international stock markets and to search for an optimum model for analyzing their interactions taking into consideration their geographical location, using the vector fractionally integrated autoregressive moving-average (VARFIMA) model. This...