A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates

In this study, we assess the dynamic evolution of short-term correlation, long-term cointegration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets from 1980 to 2015 using the rolling-window technique....

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Detalles Bibliográficos
Autores principales: Chen, Yanhua, Mantegna, Rosario N., Pantelous, Athanasios A., Zuev, Konstantin M.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2018
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5847242/
https://www.ncbi.nlm.nih.gov/pubmed/29529092
http://dx.doi.org/10.1371/journal.pone.0194067

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5847242/
https://www.ncbi.nlm.nih.gov/pubmed/29529092
http://dx.doi.org/10.1371/journal.pone.0194067

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