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A wavelet-based approach to test for financial market contagion · Study

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ArticleA wavelet-based approach to test for financial market contagion

Marco Gallegati2010

Article2010

A wavelet-based approach to test for financial market contagion

Marco Gallegati

229 citations·0/0 files stored·Computational Statistics & Data Analysis

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 229 citations exist upstream.

References

2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1990Correlations in Price Changes and Volatility across International Stock Markets 1995Is the correlation in international equity returns constant: 1960–1990?1990Transmission of Volatility between Stock Markets 1989Transmission of Volatility Between Stock Markets 2000On crises, contagion, and confusion 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 2003A New Approach to Measuring Financial Contagion

Cited by

2013Wavelet-based evidence of the impact of oil prices on stock returns 2015Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis 2013A wavelet decomposition approach to crude oil price and exchange rate dependence 2013Oil and US dollar exchange rate dependence: A detrended cross-correlation approach 2017A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets 2014Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis 2017Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach 2018Gold price dynamics and the role of uncertainty

Details

Year2010

Typearticle

Published2010-11-15

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations229

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.csda.2010.11.003

openalex_workW2048163607

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