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Empirical Analysis of Persistence and Dependence Patterns Among the Capital Markets

  • Miloslav Vošvrda

This paper investigates dependence structures on selected world stock markets. Firstly, a non-parametric univariate measure of a persistence concerning capital markets efficiency is derived and computed. Secondly, we focus on computing of a non-parametric multivariate measure of the persistence indicating an ability of the price mechanisms to hold capital market efficiency under interaction of shocks.

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Article provided by University of Economics, Prague in its journal Prague Economic Papers.

Volume (Year): 2006 (2006)
Issue (Month): 3 ()
Pages: 231-242

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Handle: RePEc:prg:jnlpep:v:2006:y:2006:i:3:id:286:p:231-242
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  1. Pesaran, M.H. & Pierse, R.G. & Lee, K.C., 1990. "Persistence, Cointegration And Aggregation: A Disaggregated Analysis Of Output Fluctuations In The Us Economy," Cambridge Working Papers in Economics 9020, Faculty of Economics, University of Cambridge.
  2. van de Gucht, Linda M. & Dekimpe, Marnik G. & Kwok, Chuck C. Y., 1996. "Persistence in foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 191-220, April.
  3. repec:ner:tilbur:urn:nbn:nl:ui:12-358837 is not listed on IDEAS
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