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Evolvement of uniformity and volatility in the stressed global financial village

Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; … - 2011

relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the … 2010. We found that while the developed ``western'' markets (U.S., U.K., Germany), are highly correlated, the …

Persistent link: https://www.econbiz.de/10009354737

European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 : a comparative DCC-GARCH and wavelet correlation analysis

Dajcman, Silvio; Festić, Mejra; Kavkler, Alenka - In: Applied economics letters 19 (2012) 13/15, pp. 1249-1256

Persistent link: https://www.econbiz.de/10009680562

Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets : pre & post crisis

Vukovic, Darko B.; Lapshina, Kseniya A.; Maiti, Moinak - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013186510

The link between volatility and correlation in international stock markets : an empirical analysis with particular reference to crash periods

Moro Visconti, Roberto - In: Rivista internazionale di scienze sociali 102 (1994) 2, pp. 175-221

Persistent link: https://www.econbiz.de/10001177235

Wann beginnt die Krise? : Ein Blick auf Finanzmarktrenditen

Locarek-Junge, Hermann; Straßberger, Mario; Wagner, … - In: Krisenkommunikation : 5. Dresdner Kolloquium an der …, (pp. 142-152). 2003

Persistent link: https://www.econbiz.de/10002063628

Does the U.S. extreme indicator matter in stock markets? : international evidence

Jing, Xiaozhen; Xu, Dezhong; Li, Bin; Singh, Tarlok - In: Financial innovation : FIN 10 (2024), pp. 1-27

We propose a new predictor - the innovation in the daily return minimum in the U.S. stock market () - for predicting international stock market returns. Using monthly data for a wide range of 17 MSCI international stock markets during the period spanning over half a century from January 1972 to...

Persistent link: https://www.econbiz.de/10015361591