Título:

Dynamic Cross-Correlation and Dynamic Contagion of Stock Markets: A Sliding Windows Approach with the DCCA Correlation Coefficient

Autores:

Oussama Tilfani (Cadi Ayyad Univerisity)
Paulo Ferreira (U Évora, Research Center for Endogenous Resource Valorization)
My Youssef El Boukfaoui (Cadi Ayyad Univerisity)

Revista:

Empirical Economics

Ano:

2021

Volume:

60

Número:

3

Páginas:

1127-1156

Códigos JEL:

G15 - International Financial Markets
O16 - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
P3 - Socialist Institutions and Their Transitions

DOI:

10.1007/s00181-019-01806-1