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Linkages between international stock markets: A multivariate long-memory approach

  • Ozdemir, Zeynel Abidin

This paper aims to analyze the linkages between international stock markets and to search for an optimum model for analyzing their interactions taking into consideration their geographical location, using the vector fractionally integrated autoregressive moving-average (VARFIMA) model. This model has not so far been employed in examining the interdependence among the stock markets of Germany, Japan, the UK, and the USA. The results of the paper show that there is an interconnection among the stock markets of these countries.

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File URL: http://www.sciencedirect.com/science/article/pii/S037843710900154X
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 388 (2009)
Issue (Month): 12 ()
Pages: 2461-2468

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Handle: RePEc:eee:phsmap:v:388:y:2009:i:12:p:2461-2468
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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  19. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-77, December.
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