Title:Detecting nonlinear interdependencies in eurozone peripheral equity markets : a multistep filtering approach Author(s):BEKIROS, Stelios D.; AVDOULAS, Christos; BOUBAKER, SabriDate:2016Citation:
- Economic modelling, 2016, Vol. 58, pp. 580-587
Type:ArticleAbstract:This paper assesses the presence of linear and nonlinear dynamic causal relations among the stock markets of the Eurozone peripheral countries, namely Portugal, Ireland, Italy, Greece and Spain (PIIGS countries). In addition ...