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 cross-correlation analysis (DCCA) were used...

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Veröffentlicht in:	Journal of risk and financial management 2020-05, Vol.13 (5), p.1-23
Hauptverfasser:	Tilfani, Oussama, Ferreira, Paulo, Dionísio, Andreia Teixeira Marques, El Boukfaoui, My Youssef
Format:	Artikel
Sprache:	eng
Schlagworte:	Brexit comovements correlation coefficient DCCA Economic aspects Economic research European Union Financial crises stock market integration Stock markets
Online-Zugang:	Volltext
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