This paper aims to analyze whether the financial crises of the past 20 years have reduced
efficiency, in its weak form, in 19 stock markets belonging to the 20 most developed …

The intrinsic information shared by financial assets provides a means of assessing their
mutual linkages. In times of crisis, spillovers and information flow between markets increase …

This paper aims to analyse financial integration in the emerging markets of Latin America in
the context of the dot-com and subprime financial crises. To do so, different approaches …

With globalization and financialization, exchange rates could be sensitive to oil price shocks.
Due to differences of exchange rate policy, oil-dependence status, and other factors, the …

This paper investigates time-varying characteristics of illiquidity and the pricing of its risk
using a liquidity-adjusted capital asset pricing model (L-CAPM). Collecting data from a pool …

This essay aims to analyze the impact of the 2020 global pandemic on the memory
properties of the Eastern Europe stock markets, from the period between 1 January 2016 to …

We have implemented in this paper the DCCA cross-correlation coefficient, ρ DCCA, with
sliding windows approach to measure cross-correlation as a function of time. Thereby, from …

Considering the importance of continuously analysing stock market integration, and based
on an earlier study, this paper adopts a sliding windows approach, jointly with the Detrended …

We analyze the auto-correlations of all European Union (EU) indices and the cross-
correlation between the UK stock market and the other EU markets. This analysis took into …

Process abnormalities can result in serious accidents that may lead to unexpected loss of
life and property. Early fault detection and diagnosis are essential to prevent these …