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20052016
most citedLong Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?

103 citations · 211 across the 8 of their papers we have counts for

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q-fin.ST2011

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…