EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients

For this paper, we dynamically analysed the comovements between three major stock markets—Germany, the UK, and the US—and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended crosscorrelation analysis (DCCA) were used,...

Full description

Bibliographic Details
Main Author: Tilfani, Oussama (author)
Other Authors: Ferreira, Paulo (author), Dionisio, Andreia (author), El Boukfaoui, My Youssef (author)
Format: article
Language:eng
Published: 2021
Subjects:
comovements
correlation coefficient
DCCA
stock market integration
Online Access:http://hdl.handle.net/10174/28582
Country:Portugal
Oai:oai:dspace.uevora.pt:10174/28582

Internet

http://hdl.handle.net/10174/28582

Similar Items