Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality in quantiles test
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- Vassilios Babalos & Mehmet Balcilar & Tumisang B. Loate & Shingie Chisoro, 2018. "Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality-in-quantiles test," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 29-47, February.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:eee:phsmap:v:511:y:2018:i:c:p:251-262 is not listed on IDEAS
- Gil-Alana, Luis A. & Gupta, Rangan & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2018.
"Market efficiency of Baltic stock markets: A fractional integration approach,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 511(C), pages 251-262.
- Luis A. Gil-Alana & Rangan Gupta & Olanrewaju I. Shittu & OlaOluwa S. Yaya, 2016. "Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach," Working Papers 201617, University of Pretoria, Department of Economics.
More about this item
KeywordsBaltic stock markets; non parametric; quantile causality; diversification benefits; global financial crisis;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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