Detection of information flow in major international financial markets by interactivity network analysis
DOI10.1007/S10690-010-9133-1zbMath1274.91484OpenAlexW1987627636MaRDI QIDQ651378
Abdelwahab Allali, Amor Oueslati, Abdelwahed Trabelsi
Publication date: 13 December 2011
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-010-9133-1
time seriesinformation transmissionGranger causalitygraphical modelsfrequency domain analysispartial directed coherenceVAR modelglobal Markov propertiesinstantaneous causalityinternational financial market
Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24)
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