Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods

DOI10.1007/S11071-019-04974-YMaRDI QIDQ127928zbMATH OpenOpenAlexWikidataFDO

Authors Josué M. Polanco-Martínez, Josué M. Polanco-Martínez

Publication date 6 May 2019

Published in Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10810/47397

zbMATH Keywords

econophysicsfinancial time seriesnonlinear causalityrolling window Spearman correlationwavelet coherence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Dynamical systems in optimization and economics (37N40) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

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Cites work

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• Optimal control of hydraulically driven parallel robot platform based on firefly algorithm
• Systemic risk and causality dynamics of the world international shipping market
• Wavelet analysis of stock returns and aggregate economic activity

Cited in

(5)

• Nonlinear evolution research for stock market, money market and foreign exchange market
• A non-parametric examination of emerging equity markets financial integration
• Free trade agreements and volatility of stock returns and exchange rates: evidence from NAFTA
• Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China
• Dynamic linkages and economic role of leading cryptocurrencies in an emerging market

Describes a project that uses

Uses Software

• W2CWM2C
• StFinMetrics
• SOWAS

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