The main objective of this paper is to assess how mutual information as a measure of global dependence between stock markets and macroeconomic factors can overcome some of the weaknesses of the traditional linear approaches commonly used in this context. One of the advantages of mutual information is that it does not require any prior assumption regarding the specification of a theoretical probability distribution or the specification of the dependence model. This study focuses on the Portuguese stock market where we evaluate the relevance of the macroeconomic and financial variables as determinants of the stock prices behaviour
Stock prices are usually analysed and explained in terms of underlying financial indicators, such as...
This study attempts to investigate the direction of causal relationship between the Brazilian stock ...
In this paper, we will analyse the increase of correlations in the market during periods of crisis, ...
The main objective of this paper is to assess how mutual information as a measure of global dependen...
The main objective of this paper is to assess how mutual information as a measure of global dependen...
A theoretical model describing a dependence of stock index on relevant macroeconomic variables is de...
This article analyzes the influence of macroeconomic variables on the stock market. The analysis of ...
Estudos de correlação entre variações de preços de ações e variação de índices de mercado são import...
The present study examines dynamic relation between stock index and exchange rate by using the daily...
This paper investigates the existence of non-linear dependence in Portuguese financial time series n...
In this paper, we test for linear and nonlinear Granger causality between the French, German, Japane...
Mercados financeiros são sistemas complexos com estrutura e comportamento extremamente dependentes d...
In this paper, we will analyze the increase of correlations in the market during periods of crisis, ...
Mestrado em FinançasThis study aims to examine the effect of the macroeconomic variables on the stoc...
The relationship between macroeconomic variables and stock market returns is, by now, well-documente...
Stock prices are usually analysed and explained in terms of underlying financial indicators, such as...
This study attempts to investigate the direction of causal relationship between the Brazilian stock ...
In this paper, we will analyse the increase of correlations in the market during periods of crisis, ...
The main objective of this paper is to assess how mutual information as a measure of global dependen...
The main objective of this paper is to assess how mutual information as a measure of global dependen...
A theoretical model describing a dependence of stock index on relevant macroeconomic variables is de...
This article analyzes the influence of macroeconomic variables on the stock market. The analysis of ...
Estudos de correlação entre variações de preços de ações e variação de índices de mercado são import...
The present study examines dynamic relation between stock index and exchange rate by using the daily...
This paper investigates the existence of non-linear dependence in Portuguese financial time series n...
In this paper, we test for linear and nonlinear Granger causality between the French, German, Japane...
Mercados financeiros são sistemas complexos com estrutura e comportamento extremamente dependentes d...
In this paper, we will analyze the increase of correlations in the market during periods of crisis, ...
Mestrado em FinançasThis study aims to examine the effect of the macroeconomic variables on the stoc...
The relationship between macroeconomic variables and stock market returns is, by now, well-documente...
Stock prices are usually analysed and explained in terms of underlying financial indicators, such as...
This study attempts to investigate the direction of causal relationship between the Brazilian stock ...
In this paper, we will analyse the increase of correlations in the market during periods of crisis, ...
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