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Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010407524

Financial cycles around the world

Adarov, Amat - 2018

The study analyses ﬁnancial cycles based on a global sample of 34 advanced and developing countries over the period 1960Q1 to 2015Q4. We use dynamic factor models and state-space techniques to estimate ﬁnancial cycles in credit, housing, bond and equity markets, as well as aggregate...

Persistent link: https://www.econbiz.de/10011815430

Asset price bubbles and systemic risk in money market funds

Aquilina, Matteo; Cincinelli, Peter; Urga, Giovanni - 2025

Persistent link: https://www.econbiz.de/10015191533

1980-2008 : the illusion of the perpetual money machine and what it bodes for the future

Sornette, Didier; Cauwels, Peter - In: Risks : open access journal 2 (2014) 2, pp. 103-131

globally. The result has been a succession of bubbles and crashes, including the worldwide stock market bubble and great crash … stock market bubbles, the emerging markets bubbles and crashes in 1994 and 1997, the Long-Term Capital Management (LTCM …) crisis of 1998, the dotcom bubble bursting in 2000, the recent house price bubbles, the financialization bubble via special …

Persistent link: https://www.econbiz.de/10010338039

Contagion among select global equity markets : a time-frequency analysis

Bhandari, Avishek; Kamaiah, Bandi - In: Global economy journal : GEJ 19 (2019) 4, pp. 1950023-1-29

Persistent link: https://www.econbiz.de/10012214476

Exploring the resilience of crude oil market via nonlinear dynamics and wavelet-based analysis : an international experience

Fianu, Emmanuel Senyo - In: International journal of decision sciences, risk and … 7 (2017) 4, pp. 255-280

Persistent link: https://www.econbiz.de/10011976896

Nonlinear dynamics of gold and the dollar

He, Qing; Guo, Yongxiu; Yu, Jishuang - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012654794

Nonlinear causality between energy consumption and economic growth by timescale

Kim, Donggeun; Park, Young-Joon - In: Energy strategy reviews 44 (2022), pp. 1-9

Exploring the causal relationship between energy consumption and economic growth is important in energy economics. We performed an empirical re-examination of the causal interactions between these two factors in South Korea. As most previous studies in South Korea overlook the nonlinear behavior...

Persistent link: https://www.econbiz.de/10014513073

Financial markets as a complex system : a short time scale perspective

Marschinski, Robert; Matassini, Lorenzo - 2001

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

Persistent link: https://www.econbiz.de/10010504303

Estimation of aggregate and segment-specific financial cycles for a global sample of countries

Adarov, Amat - 2018

The paper reports estimation results and technical details on the estimation of financial cycles for a global sample of 34 advanced and developing countries over the period 1960Q1-2015Q4, as well as introduces a database of financial cycles. We estimate several versions of financial cycles for...

Persistent link: https://www.econbiz.de/10011847208