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Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
16 references·0 citing·43 second hop
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 2008Using wavelets to decompose the time–frequency effects of monetary policy590 cited
  • 2001Volatility dependence and contagion in emerging equity markets251 cited
  • 2007Interdependence between Eastern and Western European stock markets: Evidence from intraday data165 cited
  • 2006Comovements in international stock markets158 cited
  • 2006Commonality in the time-variation of stock–stock and stock–bond return comovements156 cited
  • 2003Contagion and interdependence in stock markets: Have they been misdiagnosed?150 cited
  • 2009Volatility Spillovers and Contagion from Mature to Emerging Stock Markets136 cited
  • 2006The dynamics of Central European equity market comovements133 cited
  • 2009Contagion in the stock markets: The Asian financial crisis revisited100 cited
  • 2010Time-varying integration, interdependence and contagion95 cited
  • 2007Wavelet Variance Analysis of Output in G-7 Countries89 cited
  • 2003The interdependence of share markets in the developed economies of East Asia

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83 cited
  • 2005Explaining co-movements between stock markets: The case of US and Germany66 cited
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