Narrow search
Showing 1 - 3 of 3
Cover Image
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 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...
Persistent link: https://www.econbiz.de/10011040176
Cover Image
On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?
Menezes, Rui; Dionísio, Andreia; Hassanic, Hossein - Centro de Estudos e Formação Avançada em Gestão e … - 2010
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
Cover Image
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 Teixeira Marques; … - In: The quarterly review of economics and finance : journal … 52 (2012) 4, pp. 369-384
Persistent link: https://www.econbiz.de/10009700549