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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...
Persistent link: https://www.econbiz.de/10011040176
This paper analyzes the process of stock market globalization on the basis of two different approaches: (i) the linear one, based on cointegration tests and vector error correction models (VECM); and (ii) the nonlinear approach, based on Singular Spectrum Analysis (SSA) and mutual information...
Persistent link: https://www.econbiz.de/10008752564
Persistent link: https://www.econbiz.de/10009700549