This study investigates the dynamic pattern of the interdependence among G7 stock markets, namely the US, the UK, France, Germany, Italy Canada and Japan over the 1988-2021 period. The state-space formulation of the time-varying cointegrating coefficient allows us to examine the potential...

In this study, we investigate the dynamics behind informed investors' trading decisions among European stock, options and credit default swap markets. This allows us to identify the predictive explanatory power of the unique information contained in each market with respect to future stock, CDS...

In this study, we investigate the dynamics behind informed investors' trading decisions among Eu-ropean stock, options and credit default swap markets. This allows us to identify the predictive ex-planatory power of the unique information contained in each market with respect to future stock,...