Menezes, Rui; Dionísio, Andreia; Hassani, Hossein - In: The Quarterly Review of Economics and Finance 52 (2012) 4, pp. 369-384
This paper analyzes stock market relationships among the G7 countries between 1973 and 2009 using three different approaches: (i) a linear approach based on cointegration, Vector Error Correction (VECM) and Granger Causality; (ii) a nonlinear approach based on Mutual Information and the Global...
