35 citations · 76 across the 5 of their papers we have counts for
5 papers
Assessment of 48 Stock markets using adaptive multifractal approach
Paulo Ferreira, Andreia Dionísio, S. M. S. Movahed
Stock market comovements are examined using cointegration, Granger causality tests and nonlinear approaches in context of mutual information and correlations. Underlying data sets…
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…
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…
Utility function estimation: the entropy approach
Andreia Dionisio, A. Heitor Reis
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utilit…
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…