0000000000587286
AUTHOR
Konstantin M. Zuev
showing 2 related works from this author
A dynamic analysis of SP 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates.
2018
In this study, we assess the dynamic evolution of short-term correlation, long-term cointe-gration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets from 1980 to 2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured in common and domestic currency terms, is conducted to evaluate comprehensively how exchange rate fluctuations affect the time-varying integration among the S&P 500, FTSE 100 and EURO STOXX 50 indices. The results obtained show that the dynamic correlation, cointegration and ECM-based long-run Gra…
A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates
2017
The persistence analysis of short- and long-term interaction and causality in the international financial markets is a key issue for policy makers and portfolio investors. This paper assesses the dynamic evolution of short-term correlation, long-term cointegration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets over the period of 1980--2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured in common and domestic currency terms, is conducted to evaluate comprehensively how exchange rate fluctuations affect the ti…