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On the globalization of stock markets: An application of Vector Error Correctio...
Menezes, Rui; Dionisio, Andreia; Hossein, HassaniThis paper analyzes stock market relationships among the G7 countries between 1973 and 2009 using three different approaches: (i) a linear approach based on cointegration, Vector Error Correction (VECM) and Granger Causality; (ii) a nonlinear approach based on Mutual Information and the Global Correlation Coefficient; and (iii) a nonlinear approach based on Singular Spectrum Analysis (SSA). While the cointegrat...
The effect of noise reduction in measuring the linear and nonlinear dependency ...
Hossein, Hassani; Dionísio, Andreia; Ghodsi, MansourehThe daily closing prices of several stock market indices are examined to analyse whether noise reduction matters in measuring dependencies of the financial series. We consider the effect of noise reduction on the linear and nonlinear measure of dependencies. We also use singular spectrum analysis as a powerful method for filtering financial series. We compare the results with those obtained by ARMA and GARCH mo...
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