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Interdependence Between Some Major European Stock Markets - A Wavelet Lead/Lag Analysis
16 references·3 citing·48 second hop
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References

  • 1952Portfolio Selection4,609 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1973A Random Walk Down Wall Street1,743 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 2005The Myth of Long-Horizon Predictability477 cited
  • 2004Multiscale systematic risk316 cited
  • 2002Increased Correlation in Bear Markets283 cited
  • 1992The International Crash of October 1987: Causality Tests275 cited
  • 2002International portfolio diversification: US and Central European equity markets267 cited
  • 2011Dependence structure and extreme comovements in international equity and bond markets267 cited
  • 2001Scaling properties of foreign exchange volatility201 cited
  • 2004The relationship between stock returns and inflation: new evidence from wavelet analysis200 cited
  • 2007Wavelet analysis of stock returns and aggregate economic activity200 cited

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2003
Systematic risk and timescales
194 cited

Cited by

  • 2015How do correlations of crude oil prices co-move? A grey correlation-based wavelet perspective69 cited
  • 2014A wavelet analysis of capital markets’ integration in Latin America31 cited
  • 2020Which time-frequency domain dominates spillover in the Chinese energy stock market?29 cited