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Clustering in emerging equity markets

Author Info

Listed author(s):
  • Mendes, Beatriz V.M.
  • Leal, Ricardo P.C.
  • Carvalhal-da-Silva, Andre
Registered author(s):

    Abstract

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    File URL: http://www.sciencedirect.com/science/article/pii/S1566-0141(07)00026-X
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    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 8 (2007)
    Issue (Month): 3 (September)
    Pages: 194-205

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    Handle: RePEc:eee:ememar:v:8:y:2007:i:3:p:194-205
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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    1. P. Hartmann & S. Straetmans & C. G. de Vries, 2004. "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, February.
    2. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
    3. Thierry Ane & Cecile Kharoubi, 2003. "Dependence Structure and Risk Measure," The Journal of Business, University of Chicago Press, vol. 76(3), pages 411-438, July.
    4. W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 1-14.
    5. Peña, Daniel & Galeano, Pedro, 2001. "Multivariate analysis in vector time series," DES - Working Papers. Statistics and Econometrics. WS ws012415, Universidad Carlos III de Madrid. Departamento de Estadística.
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    Cited by:

    1. Fernandez, Viviana, 2008. "Copula-based measures of dependence structure in assets returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3615-3628.
    2. Li, Xiao-Ming & Rose, Lawrence C., 2009. "The tail risk of emerging stock markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 242-256, December.
    3. Ekaterina Dorodnykh, 2013. "What Drives Stock Exchange Integration?," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 6(2), pages 47-79, September.

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