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Continuous wavelet transform and rolling correlation of European stock markets

Citations

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Cited by:

  1. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence," JRFM, MDPI, vol. 12(1), pages 1-23, January.
  2. Monge, Manuel & Cristóbal, Enrique, 2021. "Terrorism and the behavior of oil production and prices in OPEC," Resources Policy, Elsevier, vol. 74(C).
  3. Monge, Manuel & Gil-Alana, Luis A., 2021. "Lithium industry and the U.S. crude oil prices. A fractional cointegration VAR and a Continuous Wavelet Transform analysis," Resources Policy, Elsevier, vol. 72(C).
  4. Poza, Carlos & Monge, Manuel, 2020. "A real time leading economic indicator based on text mining for the Spanish economy. Fractional cointegration VAR and Continuous Wavelet Transform analysis," International Economics, Elsevier, vol. 163(C), pages 163-175.
  5. Oluwatosin Mary Aderajo & Oladotun Daniel Olaniran, 2021. "Analysis of financial contagion in influential African stock markets," Future Business Journal, Springer, vol. 7(1), pages 1-9, December.
  6. Choi, Sun-Yong, 2020. "Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 37(C).
  7. Tomiwa Sunday Adebayo & Victoria Olushola Olanrewaju, 2025. "How effective are trade policy and monetary policy in achieving a pathway to sustainable development? Evidence from a wavelet quantile‐on‐quantile Granger causality analysis," Sustainable Development, John Wiley & Sons, Ltd., vol. 33(1), pages 861-877, February.
  8. Monge, Manuel & Gil-Alana, Luis Alberiko, 2021. "Spatial crude oil production divergence and crude oil price behaviour in the United States," Energy, Elsevier, vol. 232(C).
  9. Bales, Stephan, 2022. "Policy uncertainty and the sovereign-bank nexus: A time-frequency analysis using wavelet transformation," Finance Research Letters, Elsevier, vol. 44(C).
  10. Jitka Pomenkova & Eva Klejmova & Zuzana Kucerova, 2019. "Cyclicality in lending activity of Euro area in pre- and post- 2008 crisis: a local-adaptive-based testing of wavelets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 19(1), pages 155-175.
  11. KimHiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 37(1), pages 92-117, January.
  12. Monge, Manuel & Claudio-Quiroga, Gloria & Poza, Carlos, 2024. "Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends," International Economics, Elsevier, vol. 177(C).
  13. Bhuiyan, Rubaiyat Ahsan & Husain, Afzol & Zhang, Changyong, 2021. "A wavelet approach for causal relationship between bitcoin and conventional asset classes," Resources Policy, Elsevier, vol. 71(C).
  14. Fan He & Xuansen He, 2019. "A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 729-761, August.
  15. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2016. "Oil price and exchange rate in India: Fresh evidence from continuous wavelet approach and asymmetric, multi-horizon Granger-causality tests," Applied Energy, Elsevier, vol. 179(C), pages 272-283.
  16. Kang, Sang Hoon & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2019. "Time-frequency co-movements between the largest nonferrous metal futures markets," Resources Policy, Elsevier, vol. 61(C), pages 393-398.
  17. Polanco Martínez, Josué M. & Abadie, Luis M. & Fernández-Macho, J., 2018. "A multi-resolution and multivariate analysis of the dynamic relationships between crude oil and petroleum-product prices," Applied Energy, Elsevier, vol. 228(C), pages 1550-1560.
  18. Bales, Stephan & Burghof, Hans-Peter, 2024. "Public attention, sentiment and the default of Silicon Valley Bank," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
  19. Ma, Rufei & Deng, Chengtao & Cai, Huan & Zhai, Pengxiang, 2019. "Does Shanghai-Hong Kong Stock Connect drive market comovement between Shanghai and Hong Kong: A new evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  20. Kumari, Pooja & Mamidala, Vasanthi & Chavali, Kavita & Behl, Abhishek, 2024. "The changing dynamics of crypto mining and environmental impact," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 940-953.
  21. Muhammad Abubakr Naeem & Mudassar Hasan & Abraham Agyemang & Md Iftekhar Hasan Chowdhury & Faruk Balli, 2023. "Time‐frequency dynamics between fear connectedness of stocks and alternative assets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2188-2201, April.
  22. Polanco-Martínez, J.M. & Fernández-Macho, J. & Neumann, M.B. & Faria, S.H., 2018. "A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1211-1227.
  23. Dejan Živkov & Jovan Njegiæ & Mirela Momèiloviæ, 2018. "Bidirectional spillover effect between Russian stock index and the selected commodities," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 36(1), pages 29-53.
  24. Khalfaoui, Rabeh, 2018. "Oil–gold time varying nexus: A time–frequency analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 86-104.
  25. Shabir Mohsin Hashmi & Muhammad Akram Gilal & Wing-Keung Wong, 2021. "Sustainability of Global Economic Policy and Stock Market Returns in Indonesia," Sustainability, MDPI, vol. 13(10), pages 1-18, May.
  26. Muhammad Abubakr Naeem & Fiza Qureshi & Saqib Farid & Aviral Kumar Tiwari & Mohamed Elheddad, 2024. "Time-frequency information transmission among financial markets: evidence from implied volatility," Annals of Operations Research, Springer, vol. 334(1), pages 701-729, March.
  27. Muhammad Owais Qarni & Saqib Gulzar, 2020. "Intra-EMU and non-EMU, EU stock markets’ return spillover: evidence from ESDC," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(3), pages 543-577, August.
  28. Avishek Bhandari, 2020. "A wavelet analysis of inter-dependence, contagion and long memory among global equity markets," Papers 2003.14110, arXiv.org.
  29. Bhuiyan, Rubaiyat Ahsan & Rahman, Maya Puspa & Saiti, Buerhan & Ghani, Gairuzazmi Bin Mat, 2019. "Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 675-687.
  30. Monge, Manuel & Poza, Carlos & Borgia, Sofía, 2022. "A proposal of a suspicion of tax fraud indicator based on Google trends to foresee Spanish tax revenues," International Economics, Elsevier, vol. 169(C), pages 1-12.
  31. Bruni, V. & Marconi, S. & Vantaggi, B. & Vitulano, D., 2026. "A time-scale analysis of financial crises similarity via Earth Mover’s Distance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 241(PA), pages 236-259.
  32. Farid, Saqib & Karim, Sitara & Naeem, Muhammad A. & Nepal, Rabindra & Jamasb, Tooraj, 2023. "Co-movement between dirty and clean energy: A time-frequency perspective," Energy Economics, Elsevier, vol. 119(C).
  33. Rizvi, Syed Aun R. & Arshad, Shaista, 2017. "Analysis of the efficiency–integration nexus of Japanese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 296-308.
  34. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2021. "How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
  35. Ghaemi Asl, Mahdi & Ben Jabeur, Sami, 2024. "Tail connectedness of DeFi and CeFi with accessible banking pillars: Unveiling novel insights through wavelet and quantile cross-spectral coherence analyses," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  36. Liu, Jiatong & Mao, Weifang & Qiao, Xingzhi, 2023. "Dynamic and asymmetric effects between carbon emission trading, financial uncertainties, and Chinese industry stocks: Evidence from quantile-on-quantile and causality-in-quantiles analysis," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
  37. Monge, Manuel & Lazcano, Ana & Parada, José Luis, 2023. "Growth vs value investing: Persistence and time trend before and after COVID-19," Research in International Business and Finance, Elsevier, vol. 65(C).
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