Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns

Timescale-dependent stock market comovement: BRICs vs. developed markets

“…Overall, the results were broadly immune to the inclusion of dividends with the exception of China, which comovement became significantly higher for all scales higher than 2 d and became rather similar with that of India 19 . The Chinese results, however, could be mostly due to the composition of the China Investable index.…”

“…Wavelet analysis was introduced to economics by Ramsey and Lampart (1998a, b), who used it to analyze the money-income and money-expenditure relationships. Recently they have been applied by Rua andNunes (2009), Jammazi andAloui (2010) and Masih, Alzahrani and Al-Titi (2010).…”

Bubbles in China

“…Wavelets provide a flexible mean to de-noise and decompose data to different frequencies and they have been applied in several scientific fields during the latest decades. They were introduced to economics by Ramsey and Lampart (1998a, b) and although the start has been rather slow, recently they have gained popularity at the end of 2000s and have been applied in finance for example by Rua and Nunes (2009) and Jammazi and Aloui (2010). DCC model by belongs to the family of the multivariate GARCH models and generalizes the constant conditional correlation method by providing an effective way to study the time variations in asset return correlations.…”

Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price

“…For example, Jammazi and Aloui [12] combine the Haar à trous wavelet model and Markov switching vector autoregressive (MS-VAR) model to analyze three regimes for the influence of the crude oil shocks on the stock market using data from the UK, France, and Japan [12]. Alvarez-Ramirez et al [13] propose an entropy time-asymmetry approach to analyze the dynamics of the crude oil price and macroeconomic data in the USA.…”