Time-frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic. [PDF]
Financ Innov, 2022 Cui J, Maghyereh A.
europepmc +1 more source
The comovements of construction in Italy's regions, 1861-1913 [PDF]
This paper examines the comovements of construction in Italy's regions from 1861 to 1913. The dynamic correlations of the series' deviation cycles decline in the case of buildings, remain very low in that of railways, and tend to decline in that of other
Ciccarelli, Carlo +2 more
core +1 more source
Stockmarket comovements revisited [PDF]
We revisit the issue of comovements of emerging and developed stockmarkets, and provide a simultaneous treatment of data for the eighties and nineties.
Newton Da Costa, Jr +3 more
core
Connectedness of COVID vaccination with economic policy uncertainty, oil, bonds, and sectoral equity markets: evidence from the US. [PDF]
Ann Oper Res, 2023 Yousaf I +3 more
europepmc +1 more source
Comovements in Stock Prices and Comovements in Dividends [PDF]
Simple efficient markets models imply that the covariance between prices of speculative assets cannot exceed the covariance between their respective fundamentals unless there is positive information pooling. Positive information pooling occurs when there
Robert J. Shiller
core
The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries [PDF]
We analyze the time-variations of conditional correlations between selected Latin American emerging markets and between them and the World stock market to further shed light on the issues of capital market integration and portfolio diversification.
Duc Khuong Nguyen +2 more
core +3 more sources
Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]
PLoS One, 2023 Danila N.
europepmc +1 more source
Economic Clubs and European Commitment. Evidence from the International Business Cycles [PDF]
This paper examines the emergence of economic clubs and its coherence with the european commitments. to this end, it analyses business cycle comovements in six industrialised economies, which are pooled into several clusters.
Bovi, M.
core
The impact of heavy tails and comovements in downside-risk diversification [PDF]
This paper uncovers the factors influencing optimal asset allocation for downside-risk averse investors. These are comovements between assets, the product of marginal tail probabilities, and the tail index of the optimal portfolio.
Jesus Gonzalo, Jose Olmo
core
Global and local components of output gaps. [PDF]
Empir Econ, 2023 Eckert F, Mühlebach N.
europepmc +1 more source