Synergistic Information Transfer in the Global System of Financial Markets. [PDF]
Entropy (Basel), 2020 Scagliarini T +4 more
europepmc +1 more source
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation [PDF]
The aim of this paper is to estimate the Multivariate Affine Generalized distributions (MAGH) using market data. We use Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes.
Aquiles Farias, José Fajardo
core
Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime [PDF]
, 2012 Leandro Maciel +3 more
openalex +1 more source
RECESSION AND INTERNATIONAL MARKET CORRELATIONS [PDF]
This paper investigates the relationships between various world stock indices from June 2007 to May 2009. The primary concern is whether the recession and the higher variance in daily market returns impact correlations between market indices. The results
Elaine Jones
core
The influence of extreme events such as Brexit and Covid-19 on equity markets. [PDF]
J Policy Model, 2022 Iglesias EM.
europepmc +1 more source
The stabilizing effect of social distancing: Cross-country differences in financial market response to COVID-19 pandemic policies. [PDF]
Res Int Bus Finance, 2021 Bickley SJ +4 more
europepmc +1 more source
Modelos estocásticos com heterocedasticidade: Uma abordagem Bayesiana para os retornos do Ibovespa
, 2014 Sandra Cristina de Oliveira +1 more
openalex +2 more sources
Kronecker delta method for testing independence between two vectors in high-dimension. [PDF]
Stat Pap (Berl), 2022 Silva IR, Zhuang Y, Junior JCADS.
europepmc +1 more source