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Based on the wavelet decomposition approach, we study co-movement among foreign exchange markets using the returns of exchange rates (GBP/USD, EUR/USD, and JPY/USD). We focus on the interdependence among returns of exchange rates during the recent global financial crisis and European debt crisis. We use a wavelet analysis because of its ability to decompose signals into high and low frequencies. This...
This study investigates dependence structures among international stock markets, including developed, emerging, and frontier markets, using the hierarchical Archimedean copula model. Empirical results indicate that emerging markets show the strongest dependence with European markets. Frontier markets show the weakest dependence with other market. After the global financial crisis, the lower dependence...
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