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An analysis of lead-lag structures using a frequency domain approach: Empirical evidence from the Finnish and Swedish stock markets

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  • Knif, Johan
  • Pynnonen, Seppo
  • Luoma, Martti

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  • Knif, Johan & Pynnonen, Seppo & Luoma, Martti, 1995. "An analysis of lead-lag structures using a frequency domain approach: Empirical evidence from the Finnish and Swedish stock markets," European Journal of Operational Research, Elsevier, vol. 81(2), pages 259-270, March.
    • Handle: RePEc:eee:ejores:v:81:y:1995:i:2:p:259-270
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    References listed on IDEAS

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    1. D. S. Coates & P. J. Diggle, 1986. "Tests For Comparing Two Estimated Spectral Densities," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(1), pages 7-20, January.
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    1. Knif, Johan & Pynnonen, Seppo, 1999. "Local and global price memory of international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(2), pages 129-147, April.
    2. Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
    3. Peter Oppenheimer & Terry V. Grissom, 1998. "Frequency Space Correlation Between REITs and Capital Market Indices," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 291-310.
    4. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, January.
    5. Kim Sangbae & In Francis Haeuck, 2003. "The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-18, December.
    6. Seppo Pynnonen & Johan Knif, 1998. "Common long-term and short-term price memory in two Scandinavian stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 257-265.
    7. Anand B. Gulati & James W. Kolari & Johan Knif, 2013. "Exchange Rate Shocks and Firm Competitiveness in a Small, Export-Oriented Economy: The Case of Finland," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 1-47, March - J.

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