Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes
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DOI: 10.1016/j.physa.2017.08.057
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- Muhammad Abubakr Naeem & Mudassar Hasan & Abraham Agyemang & Md Iftekhar Hasan Chowdhury & Faruk Balli, 2023. "Time‐frequency dynamics between fear connectedness of stocks and alternative assets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2188-2201, April.
- Amine Ben Amar & Jean‐Étienne Carlotti, 2021. "Who drives the dance? Further insights from a time‐frequency wavelet analysis of the interrelationship between stock markets and uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1623-1636, January.
- João Martins, 2022. "Bond Yields Movement Similarities and Synchronization in the G7: A Time–Frequency Analysis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 189-214, July.
- Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
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- Amine Ben Amar, 2018. "An old wine in new shari'a compliant bottles? A time-frequency wavelet analysis of the efficiency of monetary policy in dual financial systems," Post-Print hal-01745747, HAL.
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More about this item
Keywords
Global macro markets; Fear indexes; Financial crisis; Wavelet coherence; Wavelet multiple correlation and cross correlation;All these keywords.
JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F01 - International Economics - - General - - - Global Outlook
- F20 - International Economics - - International Factor Movements and International Business - - - General
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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