On the dynamic dependence and asymmetric co-movement between the US and central and eastern European transition markets

DOI10.1016/j.physa.2016.04.028zbMath1400.91412OpenAlexW2343112706MaRDI QIDQ1619694

Syed Ali Raza, Heni Boubaker

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.04.028

zbMATH Keywords

CEE stock marketscrisis periodslong memory dependencetime-varying co-movement

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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