Similar Search Results

On the globalization of stock markets : an application of Vector Error Correction model, mutual information and singular spectrum analysis to the G7 countries

Menezes, Rui; Dionísio, Andreia; Hassani, Hossein - In: The quarterly review of economics and finance : journal … 52 (2012) 4, pp. 369-384

Persistent link: https://www.econbiz.de/10009700549

Price transmission in cross boundary supply chains

Asche, Frank; Menezes, Rui; Dias, Joaõ - In: Empirica 34 (2007) 5, pp. 477-489

Persistent link: https://www.econbiz.de/10005719033

Asymmetric price transmission within the Portuguese stock market

Menezes, Rui; Dionisio, Andreia; Mendes, Diana A. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 312-316

This paper uses threshold autoregressive (TAR) and momentum threshold autoregressive (M-TAR) models to address the problem of asymmetry within the Portuguese stock market. These asymmetric error correction models extend the original cointegration models to deal with the problem of low power of...

Persistent link: https://www.econbiz.de/10010588494

On the integrated behaviour of non-stationary volatility in stock markets

Dionisio, Andreia; Menezes, Rui; Mendes, Diana A. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 58-65

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of...

Persistent link: https://www.econbiz.de/10010590228

Price transmission in cross boundary supply chains

Asche, Frank; Menezes, Rui; Dias, Joa~o Ferreira - In: Empirica : journal of european economics 34 (2007) 5, pp. 477-489

Persistent link: https://www.econbiz.de/10003559760

Regional and global integration of Asian stock markets

Mohti, Wahbeeah; Dionísio, Andreia Teixeira Marques; … - In: Research in international business and finance 50 (2019), pp. 357-368

Persistent link: https://www.econbiz.de/10012177680