Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications
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DOI: 10.1007/s10614-009-9186-2
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Cited by:
- Andreia Teixeira Marques DionÃsio, 2010. "On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?," CEFAGE-UE Working Papers 2010_06, University of Evora, CEFAGE-UE (Portugal).
- Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
- Marco Corazza & Elisa Scalco, 2015. "Verifying the R�nyi dependence axioms for a non-linear bivariate comovement index," Working Papers 2015:11, Department of Economics, University of Venice "Ca' Foscari".
- Rui Menezes & Andreia Dioniso, 2011. "Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks," Papers 1101.4093, arXiv.org.
- Ruan, Qingsong & Cui, Hao & Fan, Liming, 2020. "China’s soybean crush spread: Nonlinear analysis based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
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More about this item
Keywords
Comovement; Asset prices; Bivariate dependence; Non-linearity; t-Test; Polynomial approximation; Energy asset; (vanilla) European call and put options; Cross-Greeks; 41A10; 62J02; C59; G19; Q49;All these keywords.
JEL classification:
- C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
- G19 - Financial Economics - - General Financial Markets - - - Other
- Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other
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