Results 11 to 20 of about 557,330 (331)
The Excess Co-Movement of Commodity Prices [PDF]
The Economic Journal, 1990 MIT's Center for Energy Policy Research and National Science Foundation, SES-8618502 and SES ...
Robert S. Pindyck, Julio J. Rotemberg
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Co-movement, Capital and Contracts: 'Normal' Cycles Through Creative Destruction [PDF]
SSRN Electronic Journal, 2003 We develop a unified theory of endogenous business cycles in which expansions are neoclassical growth periods driven by productivity improvements and capital accumulation, while downturns are the result of Keynesian contractions in aggregate demand below potential output.
Francois, P., Lloyd-Ellis, H.
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Stock market co-movement in the Caribbean [PDF]
Economic Issues, 2010 This paper investigates co-movement in five Caribbean stock markets (Barbados, Jamaica and Trinidad and Tobago, The Bahamas and Guyana) using common factor analysis. The common factors are obtained using principal component analysis and therefore account for the maximum portion of the variance present in the stock exchanges investigated.
Harrison, B, Moore, W
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A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective [PDF]
Dyna, 2016 This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S.
Semei Coronado-Ramirez +3 more
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Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
, 2012 In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet tools to commodity market data.
Lukáš Vácha, Jozef Baruník
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An Alternative Approach to Measure Co-Movement between Two Time Series
Mathematics, 2020 The study of the dependences between different assets is a classic topic in financial literature. To understand how the movements of one asset affect to others is critical for derivatives pricing, portfolio management, risk control, or trading strategies.
José Pedro Ramos-Requena +2 more
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Co-Movement Pattern Mining from Videos
Proceedings of the VLDB Endowment, 2023 Co-movement pattern mining from GPS trajectories has been an intriguing subject in spatial-temporal data mining. In this paper, we extend this research line by migrating the data source from GPS sensors to surveillance cameras, and presenting the first investigation into co-movement pattern mining from videos.
Zhang, Dongxiang +5 more
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Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
Mathematics, 2021 In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency.
Karen Balladares +3 more
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Conditional co-movement and dynamic interactions: US and BRIC equity markets [PDF]
Ekonomski Anali, 2017 The present study attempts to capture conditional or time-varying co-movement and dynamic interactions between the US and BRIC (Brazil, Russia, India, and China) equity markets across the sample period 2004 to 2014 by employing diverse ...
Singh Amanjot, Singh Manjit
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Economies, 2023 This study investigates the co-movement patterns of Asia technology stock indices and cryptocurrencies during the COVID-19 pandemic. The analysis examines Bitcoin and Ethereum, China’s Tech index (XA90), and India’s Tech index (NSEIT) from 2017 to 2021 ...
Arief Rijanto
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