Frequency aspects of information transmission in a network of three Western equity markets
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References listed on IDEAS
- Aguiar-Conraria, LuI´s & Joana Soares, Maria, 2011. "Business cycle synchronization and the Euro: A wavelet analysis," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 477-489, September.
- Luís Francisco Aguiar & Maria Joana Soares, 2011. "The Continuous Wavelet Transform: A Primer," NIPE Working Papers 16/2011, NIPE - Universidade do Minho.
- Aguiar-Conraria, Luís & Azevedo, Nuno & Soares, Maria Joana, 2008. "Using wavelets to decompose the time–frequency effects of monetary policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2863-2878.
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Keywords
Equity market network; propagation value; cycle; synchronization; wavelet analysis; phase difference.;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2017-01-01 (All new papers)
- NEP-EEC-2017-01-01 (European Economics)
- NEP-MAC-2017-01-01 (Macroeconomics)
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