103 citations · 150 across the 6 of their papers we have counts for
6 papers
Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks
Rui Menezes, Andreia Dioniso
This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegrat…
Stock market volatility: An approach based on Tsallis entropy
Sonia R. Bentes, Rui Menezes, Diana A. Mendes
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why pri…
Entropy and Uncertainty Analysis in Financial Markets
Andreia Dionisio, Rui Menezes, Diana A. Mendes
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to me…
Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?
Sonia R. Bentes, Rui Menezes, Diana A. Mendes
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally hetero…
On the integrated behaviour of non-stationary volatility in stock markets
Andreia Dionisio, Rui Menezes, Diana A. Mendes
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (Fran…
Asymmetric Conditional Volatility in International Stock Markets
Nuno B. Ferreira, Rui Menezes, Diana A. Mendes
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothe…