This study accounts for the time‐varying pattern of price shock transmission, exploring stock
market linkages using continuous time wavelet methodology. In order to sustain and …

This paper explored the new features of emerging stock markets, in order to point out the
most associated indicators of increasing stock return volatility, which may lead to instability …

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Economic literature: papers, articles, software, chapters, books. Authors Institutions …

Using a trivariate vector autoregression (VAR) model with a proper control for
heteroscedasticity, this paper investigates the relationships between the two largest equity …

Several empirical studies show that a substantial fraction of the changes in growth rates of
real activity can be explained by lagged aggregate stock return variations in the US as well …

This paper analyzes whether the “ignorance” of private agents regarding the monetary
policy interest rate and macroeconomic surprises affects the return in the stock exchange in …

As the financial crisis which began in 2008 illustrates, the global stock markets influence
each other. Forecasting changes in the stock market index has been an important subject for …

This paper examines the co-movements dynamics between OCDE countries with the US
and Europe. The core focus is to suggest advantageous techniques allowing the …

This study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a
dynamic framework. In order to capture the effect, a block recursive VAR model is built …

This study investigates long-term linear and nonlinear causal linkages among eleven stock
markets, six industrialized markets and five emerging markets of South-East Asia. We cover …