On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?
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References listed on IDEAS
- Tavares, José, 2009.
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- Morgado, Pedro & Tavares, José, 2007. "Economic Integration and the Co-movement of Stock Returns," CEPR Discussion Papers 6519, C.E.P.R. Discussion Papers.
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- Marco Corazza & A. Malliaris & Elisa Scalco, 2010. "Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 1-23, January.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marco Corazza & Elisa Scalco, 2015. " Verifying the R�nyi dependence axioms for a non-linear bivariate comovement index," Working Papers 2015:11, Department of Economics, University of Venice "Ca' Foscari".
- Abu Bakar, Norhidayah & Masih, Abul Mansur M., 2014. "The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis," MPRA Paper 56977, University Library of Munich, Germany.
- Paulo Ferreira, 2012. "Testing serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece," CEFAGE-UE Working Papers 2012_24, University of Evora, CEFAGE-UE (Portugal).
More about this item
KeywordsGlobalization; Market integration; VECM; Mutual information; SSA technique.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-18 (All new papers)
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