A wavelet-based approach to test for financial market contagion
type: Item
instance of: scholarly article
title: A wavelet-based approach to test for financial market contagion
zbMATH Open document ID: 1254.91657
author: Marco Gallegati
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6119766
zbMATH Keywords: wavelet decomposition
zbMATH Keywords: contagion
zbMATH Keywords: interdependence
zbMATH Keywords: wavelet correlation
describes a project that uses: R
describes a project that uses: wmtsa
MaRDI profile type: Publication
full work available at URL: j.csda.2010.11.003
OpenAlex ID: W2048163607
cites work: Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
cites work: Ten Lectures on Wavelets
cites work: Volatility spillovers, interdependence and comovements: a Markov switching approach
cites work: Scaling properties of foreign exchange volatility
cites work: An introduction to wavelets and other filtering methods in finance and economics
cites work: On estimation of the wavelet variance
cites work: Q4488348
DOI: 10.1016/J.CSDA.2010.11.003
description: scientific article; zbMATH DE number 6119766