Decomposing Time-Frequency Relationship between Interest Rates and Share Prices in India through Wavelets
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- Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2014.
"Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis,"
2014-577, Department of Research, Ipag Business School.
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More about this item
Keywordscyclical effects; anti-cyclical effects; Granger-causality; phase difference; cross wavelets; wavelet coherency;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-08 (All new papers)
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