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Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications

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Author Info

  • Marco Corazza

    ()

  • A. Malliaris

    ()

  • Elisa Scalco

    ()

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File URL: http://hdl.handle.net/10.1007/s10614-009-9186-2
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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 35 (2010)
Issue (Month): 1 (January)
Pages: 1-23

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Handle: RePEc:kap:compec:v:35:y:2010:i:1:p:1-23

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Web page: http://www.springerlink.com/link.asp?id=100248
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Related research

Keywords: Comovement; Asset prices; Bivariate dependence; Non-linearity; t-Test; Polynomial approximation; Energy asset; (vanilla) European call and put options; Cross-Greeks; 41A10; 62J02; C59; G19; Q49;

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References

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  1. Wei, Wang & Yatracos, Yannis, 2004. "A stop-loss risk index," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 241-250, April.
  2. Elyès Jouini & Clotilde Napp, 2003. "Comonotonic Processes," Post-Print halshs-00167158, HAL.
  3. Napp, Clotilde & Jouini, Elyès, 2003. "Comonotonic Processes," Economics Papers from University Paris Dauphine 123456789/343, Paris Dauphine University.
  4. Sebastian Schich, 2004. "European stock market dependencies when price changes are unusually large," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 165-177.
  5. An-Sing Chen & James Wuh Lin, 2004. "Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1157-1167.
  6. Shigeyuki Hamori & Yuriko Imamura, 2000. "International transmission of stock prices among G7 countries: LA-VAR approach," Applied Economics Letters, Taylor & Francis Journals, vol. 7(9), pages 613-618.
  7. Napp, Clotilde & Jouini, Elyès, 2004. "Conditional Comonotonicity," Economics Papers from University Paris Dauphine 123456789/344, Paris Dauphine University.
  8. Niklas Ahlgren & Jan Antell, 2002. "Testing for cointegration between international stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 851-861.
  9. Clotilde Napp & Elyès Jouini, 2005. "Conditional Comonotonicity," Post-Print halshs-00151516, HAL.
  10. M. A. Kaboudan, 2000. "Genetic Programming Prediction of Stock Prices," Computational Economics, Society for Computational Economics, vol. 16(3), pages 207-236, December.
  11. Simon Broome & Bruce Morley, 2000. "Long-run and short-run linkages between stock prices and interest rates in the G-7," Applied Economics Letters, Taylor & Francis Journals, vol. 7(5), pages 321-323.
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Citations

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Cited by:
  1. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
  2. Rui Menezes & Andreia Dionísio & Hossein Hassanic, 2010. "On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?," CEFAGE-UE Working Papers 2010_06, University of Evora, CEFAGE-UE (Portugal).
  3. Rui Menezes & Andreia Dioniso, 2011. "Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks," Papers 1101.4093, arXiv.org.

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