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

  • 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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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
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=100248

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  1. M. A. Kaboudan, 2000. "Genetic Programming Prediction of Stock Prices," Computational Economics, Society for Computational Economics, vol. 16(3), pages 207-236, December.
  2. 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.
  3. Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer, vol. 27(2), pages 153-166, December.
  4. A. G. Malliaris & Jorge L. Urrutia, 1996. "Linkages between agricultural commodity futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(5), pages 595-609, 08.
  5. 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.
  6. Jouini, Elyes & Napp, Clotilde, 2003. "Comonotonic processes," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 255-265, April.
  7. Clotilde Napp & Elyès Jouini, 2005. "Conditional Comonotonicity," Post-Print halshs-00151516, HAL.
  8. 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.
  9. Wei, Wang & Yatracos, Yannis, 2004. "A stop-loss risk index," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 241-250, April.
  10. Napp, Clotilde & Jouini, Elyès, 2003. "Comonotonic Processes," Economics Papers from University Paris Dauphine 123456789/343, Paris Dauphine University.
  11. Niklas Ahlgren & Jan Antell, 2002. "Testing for cointegration between international stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 851-861.
  12. Elyès Jouini & Clotilde Napp, 2003. "Comonotonic Processes," Post-Print halshs-00167158, HAL.
  13. 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.
  14. Napp, Clotilde & Jouini, Elyès, 2004. "Conditional Comonotonicity," Economics Papers from University Paris Dauphine 123456789/344, Paris Dauphine University.
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