@article{tppnpcomovement,
title = {Time-frequency linkages and co-movements between the euro and European stock market: A continuous wavelet analysis.},
author = {Timotheos Paraskevopoulos and Peter N Posch},
url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2979416},
year = {2017},
date = {2017-09-29},
abstract = {We investigate the evolution of co-movement and lead-lag relationships between
the nominal effective European exchange rate and the largest European stock
markets in the time and frequency dimension. We decompose the financial
return series into different time scales and apply the cross-wavelet coherence and
phase difference. Within our sample set, which consists of daily data from 2000
to 2016, we observe patterns consistent with the notion of contagion, suggesting
strong and sudden increases in the cross-market synchronization on very specific
frequency bands. Investigating the lead-lag relationships between both markets,
we observe periods and frequencies where the causality runs from one variable
to the other and vice-versa.
},
keywords = {Co-movement, wavelet, wavelet-coherence},
pubstate = {published},
tppubtype = {article}
}

@article{LUBBERS201628,
title = {Commodities' common factor: An empirical assessment of the markets' drivers},
author = {Johannes Lübbers and Peter N Posch},
url = {http://www.sciencedirect.com/science/article/pii/S2405851316300381},
doi = {10.1016/j.jcomm.2016.10.002},
issn = {2405-8513},
year = {2016},
date = {2016-01-01},
journal = {Journal of Commodity Markets},
volume = {4},
number = {1},
pages = {28 - 40},
keywords = {Co-movement, Commodity-specific common factor, Generalized dynamic factor models},
pubstate = {published},
tppubtype = {article}
}