Non-linear dynamic linkages in the international stock markets
β Scribed by Zeynel Abidin Ozdemir; Esin Cakan
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 172 KB
- Volume
- 377
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Self-organized criticality (SOC) has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theory to stock-market dynamics. Avalanches in stock-market indices are identified using a multi-scale wavelet-filterin
Co-movements of stock price uctuations are described by the cross-correlation matrix C. The application of random matrix theory (RMT) allows to distinguish between spurious correlations in C due to measurement noise and true correlations containing economically meaningful information. By calculating
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationa
## Abstract In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extens