Bull or bear markets: A wavelet dynamic correlation perspective

François Benhmad

Economic Modelling, 2013, vol. 32, issue C, 576-591

Abstract: In this paper, we contribute to the literature on the international stock market co-movements and contagion, especially during the recent subprime crisis, by researching the interconnections between international stock markets in time-frequency domain.

Keywords: Contagion; Financial markets; Market heterogeneity; Wavelets (search for similar items in EconPapers)
JEL-codes: C3 F3 F4 G1 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:32:y:2013:i:c:p:576-591

DOI: 10.1016/j.econmod.2013.02.031

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