Journal ArticleDOI
Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests ☆
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TLDR
In this article, the effect of ASEAN trading link establishment on the short-term interdependency of stock markets in the Association of Southeast Asian Nations (ASEAN) countries was investigated.About:
This article is published in Economic Modelling.The article was published on 2017-08-01. It has received 67 citations till now. The article focuses on the topics: Southeast asian & Stock (geology).read more
Citations
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Journal ArticleDOI
Time-varying long-term memory in Bitcoin market
TL;DR: This study attempts to investigate the time-varying long-term memory in the Bitcoin market through a rolling window approach and by employing a new efficiency index, and some interesting findings emerge.
Journal ArticleDOI
A time-frequency analysis of trade openness and CO2 emissions in France
TL;DR: In this paper, the authors explored the comovement between trade openness and carbon dioxide (CO2) emissions in France, over the period 1960-2013 by using the wavelet tool.
Journal ArticleDOI
Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis
Zhuhua Jiang,Seong-Min Yoon +1 more
TL;DR: In this article, the authors explored the dynamic co-movement between oil and six stock markets (China, India, Japan, Saudi Arabia, Russia, and Canada) by using two types of wavelet analysis (wavelet multi-scale decomposition and wavelet coherence) and found that the stock prices are more influenced by oil prices in oil exporting countries than in oil importing countries.
Journal ArticleDOI
The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses
TL;DR: In this article, the authors studied the relationship between the global oil market and China's commodity market at the industry level by using a DCC-GJR-GARCH model.
Journal ArticleDOI
Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests
TL;DR: In this paper, the effects of crude oil price on the economic growth in BRICS countries using wavelet-based quantile-on-quantile method which is used to decompose the raw information into different investor horizons and address the comprehensive effects across different quantiles.
References
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Book
An Introduction to Copulas
TL;DR: This book discusses the fundamental properties of copulas and some of their primary applications, which include the study of dependence and measures of association, and the construction of families of bivariate distributions.
Journal ArticleDOI
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
TL;DR: In this article, a modified GARCH-M model was used to find a negative relation between conditional expected monthly return and conditional variance of monthly return, using seasonal patterns in volatility and nominal interest rates to predict conditional variance.
Journal ArticleDOI
Application of the cross wavelet transform and wavelet coherence to geophysical time series
TL;DR: It is demonstrated how phase angle statistics can be used to gain confidence in causal relation- ships and test mechanistic models of physical relationships between the time series and Monte Carlo methods are used to assess the statistical significance against red noise backgrounds.
Journal ArticleDOI
Variational Mode Decomposition
TL;DR: This work proposes an entirely non-recursive variational mode decomposition model, where the modes are extracted concurrently and is a generalization of the classic Wiener filter into multiple, adaptive bands.
Journal ArticleDOI
Modelling asymmetric exchange rate dependence
TL;DR: In this paper, the authors test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations.
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