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Gallegati, M., Gallegati, M., Ramsey, J.B. and Semmler, W. (2014) Does Productivity Affect Unemployment? A Time-Frequency Analysis for the US. In: Gallegati, M. and Semmler, W., Eds., Wavelet Applications in Economics and Finance, Springer, Cham, 23-46. https://doi.org/10.1007/978-3-319-07061-2_2

has been cited by the following article:

• TITLE: Risk-Return in the Stock Market: A Wavelet Approach

  AUTHORS: Rasheed Adegbola Bello

  KEYWORDS: Stock Prices, Equity Market, Risk, Return, Wavelet Analysis

  JOURNAL NAME: Journal of Mathematical Finance, Vol.11 No.4, November 24, 2021

  ABSTRACT: The study utilized continuous wavelet to explore the co-movement of equities of four countries: France, Germany, the UK and the US. The daily data were extracted from January 2000 to May 2020 but converted to weekly data to limit the computational burden. The paper established co-movement among the four equity markets. However, the strength of the co-movement varies across time horizons. Similarly, higher co-movement was found in the long run than in the short run. Regional differences were also established, with the European equity markets exhibiting similar dynamics with their US counterpart.