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Working paper
Sotsiologicheskie i sotsial'no-psikhologicheskie problemy "komp'yuternoy revolyutsii"
In: Voprosy filosofii: naučno-teoretičeskij žurnal, Band 41, Heft 5, S. 133-139
ISSN: 0042-8744
REVIEW ARTICLE - The Second Self: Computers and the Human Spirit (see abstract of review in SA 36:1)
In: Voprosy filosofii: naučno-teoretičeskij žurnal, Band 41, Heft 5, S. 133-139
ISSN: 0042-8744
Pricing Discretely-Monitored Double Barrier Options with Small Probabilities of Execution
In: European Journal of Operational Research, Volume 290, Issue 1, pp. 313-330, 1 April 2021, DOI 10.1016/j.ejor.2020.07.044
SSRN
Causality Networks of Financial Assets
In: Journal of Network Theory in Finance, Volume 3, Issue 2, pp 17-67, June 2017, DOI: 10.21314/JNTF.2017.029
SSRN
Unveiling Causal Interactions in Complex Systems
In: Proceedings of the National Academy of Sciences of the United States of America, Band 117, Heft 14, S. 7599-7605
SSRN
Hidden Interactions in Financial Markets
In: Proceedings of the National Academy of Sciences of the United States of America, Band 116, Heft 22, S. 10646-10651
SSRN
A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates
In this study, we assess 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 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 Granger causality vary significantly over the whole sample period. The degree of dynamic correlation and cointegration between pairs of stock markets rises in periods of high volatility and uncertainty, especially under the influence of economic, financial and political shocks. Meanwhile, we observe the weaker and decreasing correlation and cointegration among the three developed stock markets during the recovery periods. Interestingly, the most persistent and significant cointegration among the three developed stock markets exists during the 2007–09 global financial crisis. Finally, the exchange rate fluctuations, also influence the dynamic integration and causality between all pairs of stock indices, with that influence increasing under the local currency terms. Our results suggest that the potential for diversifying risk by investing in the US, UK and Eurozone stock markets is limited during the periods of economic, financial and political shocks.
BASE
A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates
In: Chen , Y , Mantegna , R N , Pantelous , A A & Zuev , K M 2018 , ' A dynamic analysis of S &P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates ' , PLoS ONE , vol. 13 , no. 3 , e0194067 . https://doi.org/10.1371/journal.pone.0194067
In this study, we assess 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 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 Granger causality vary significantly over the whole sample period. The degree of dynamic correlation and cointegration between pairs of stock markets rises in periods of high volatility and uncertainty, especially under the influence of economic, financial and political shocks. Meanwhile, we observe the weaker and decreasing correlation and cointegration among the three developed stock markets during the recovery periods. Interestingly, the most persistent and significant cointegration among the three developed stock markets exists during the 2007–09 global financial crisis. Finally, the exchange rate fluctuations, also influence the dynamic integration and causality between all pairs of stock indices, with that influence increasing under the local currency terms. Our results suggest that the potential for diversifying risk by investing in the US, UK and Eurozone stock markets is limited during the periods of economic, financial and political shocks.
BASE
A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates
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 Granger causality vary significantly over the whole sample period. The degree of dynamic correlation and cointegration between pairs of stock markets rises in periods of high volatility and uncertainty, especially under the influence of economic, financial and political shocks. Meanwhile, we observe the weaker and decreasing correlation and cointegration among the three developed stock markets during the recovery periods. Interestingly, the most persistent and significant cointegration among the three developed stock markets exists during the 200709 global financial crisis. Finally, the exchange rate fluctuations, also influence the dynamic integration and causality between all pairs of stock indices, with that influence increasing under the local currency terms. Our results suggest that the potential for diversifying risk by investing in the US, UK and Eurozone stock markets is limited during the periods of economic, financial and political shocks.
BASE