DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone

Guedes, Everaldo Freitas; Dionísio, Andreia; Ferreira, Paulo; Zebende, Gilney Figueira

doi:10.1016/j.physa.2017.02.065

Cited by 41 publications

(17 citation statements)

References 31 publications

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“…However, several authors used different starting dates for the subprime financial crisis (Da Silva et al 2016). Guedes et al (2017) considered the whole year of 2008 as a crisis period. Nelsen (2007, p.…”

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confidence: 99%

Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis

et al. 2019

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This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the markets of Croatia and Romania being affected. The remaining European markets in our sample and the others, located in America, Middle East, Africa, and Asia, appear to have been isolated from the subprime crisis impact. These results are useful for international investors interested in enlarging the geographical diversification of their portfolios, but also for the considered countries’ policymakers who should attempt to improve the attractiveness of stock markets for domestic and foreign investors while simultaneously attempting to maintain their relative level of insulation against future foreign crises.

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confidence: 99%

Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis

et al. 2019

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“…The ρDCCA method has been applied in different fields such as climatological data 76 , economics 77,78 , financial markets [79][80][81][82][83] , health 84 , and environment 76,85 .…”

Section: Datamentioning

confidence: 99%

Sustainable urban mobility analysis for elderly and disabled people in São Paulo

Azevedo

Sampaio

Filho

et al. 2021

Sci Rep

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The Brazilian Urban Mobility Policy integrates urban transport with traffic planning, establishing appropriate public policies that indicate the need for a safe and accessible public transport system. The major challenge is the inclusion of the elderly and people with disabilities. In this paper, we quantify the impact of rainfall on the number of people with disabilities and elderly people who use the public bus transportation system for accessibility in the first and last miles in the city of São Paulo. The proposed methodology is used to evaluate the co-movements between the time series of free-fare users and rainfall in São Paulo. The findings confirm the hypothesis that significant rainfall causes a reduction in the number of daily free-fare passengers who use the public bus system in São Paulo.

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“…e DFA method is a common method for investigating the long-range power-law self-correlations of single time series, and the DCCA method has demonstrated its usefulness to determine the long-range power-law cross-correlations of two nonstationary time series [14]. One step further, the DCCA cross-correlation coefficient is an effective method to quantify the level of cross-correlation between two nonstationary time series at different temporal scales [15][16][17]. e algorithm of DCCA correlation coefficient consists of five steps.…”

Section: Dcca Cross-correlation Coefficientmentioning

confidence: 99%

Effectiveness of Price Limit on Stock Market Network: A Time-Migrated DCCA Approach

Dai

2021

Complexity

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In this paper, we investigated the effectiveness of price limit on stock market with the correlation study and complex network technology. We proposed a time-migrated DCCA cross-correlation coefficient which is beneficial to detect the asynchronous correlations of nonstationary time series. The stock market network is constructed with the threshold method based on time-migrated DCCA. The effectiveness of the price limit during the stock market crash period is studied based on the time-migrated DCCA stock market network. The results indicate that the time-migrated DCCA ensures more relevant results than the equal-time DCCA method. An interesting finding is that the price limit has different effects on the stock market network at different stages of dynamic evolution. Market stabilization will be lowered and the systemic risk will be increased if the price limit is enhanced. Such studies are relevant for a better understanding of the stock market and have a significant contribution to the stock market in reality.

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DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone

Cited by 41 publications

References 31 publications

Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis

Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis

Sustainable urban mobility analysis for elderly and disabled people in São Paulo

Effectiveness of Price Limit on Stock Market Network: A Time-Migrated DCCA Approach

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