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EU stock markets vs. Germany, UK and US : analysis of dynamic comovements using time-varying DCCA correlation coefficients

Tilfani, Oussama; Ferreira, Paulo; Dionísio, Andreia … - In: Journal of risk and financial management : JRFM 13 (2020) 5/91, 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...

Persistent link: https://www.econbiz.de/10012304724

Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis

Tilfani, Oussama; Ferreira, Paulo; El Boukfaoui, My Youssef - In: Post-communist economies 32 (2020) 5, pp. 643-674

Persistent link: https://www.econbiz.de/10012266808

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

The footprints of COVID-19 on Central Eastern European stock markets : an intraday analysis

Aslam, Faheem; Nogueiro, Francisca; Brasil, Mariana; … - In: Post-communist economies 33 (2021) 6, pp. 751-769

Persistent link: https://www.econbiz.de/10012609486

Multiscale optimal portfolios using CAPM fractal regression : estimation for emerging stock markets

Tilfani, Oussama; Ferreira, Paulo; El Boukfaoui, My Youssef - In: Post-communist economies 32 (2020) 1, pp. 77-112

Persistent link: https://www.econbiz.de/10012206647

A grey-based correlation with multi-scale analysis : S&P 500 VIX and individual VIXs of large US company stocks

Wang, Zhenkun; Bouri, Elie; Ferreira, Paulo; Shahzad, … - In: Finance research letters 48 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013459296

What guides Central and Eastern European stock markets? : a view from detrended methodologies

Ferreira, Paulo - In: Post-communist economies 30 (2018) 6, pp. 805-819

Persistent link: https://www.econbiz.de/10011957352

Capital asset pricing model in Portugal : evidence from fractal regressions

Kristoufek, Ladislav; Ferreira, Paulo - In: Portuguese economic journal 17 (2018) 3, pp. 173-183

Persistent link: https://www.econbiz.de/10011949038