Efficiency and long-range correlation in G-20 stock indexes: A sliding windows approach

EF Guedes, RPC Santos, LHR Figueredo… - Fluctuation and Noise …, 2022 - World Scientific
This paper aims to analyze whether the financial crises of the past 20 years have reduced
efficiency, in its weak form, in 19 stock markets belonging to the 20 most developed …

Long memory in stock returns: Evidence from the Eastern European markets

R Dias, P Heliodoro, P Alexandre… - SHS Web of …, 2021 - shs-conferences.org
This essay aims to analyze the impact of the 2020 global pandemic on the memory
properties of the Eastern Europe stock markets, from the period between 1 January 2016 to …

[PDF][PDF] Financial contagion between the US and emerging markets: COVID-19 pandemic case

P Heliodoro, R Dias… - 4th EMAN Selected Papers …, 2020 - eman-conference.org
To realise how crises are disseminated is relevant for policy makers and regulators in order
to take appropriate measures to prevent or contain the propagation of crises. This study aims …

Analysis of the spatial distribution and future trends of coal mine accidents: A case study of coal mine accidents in China from 2005–2022

H Yinnan, Q Ruxiang - Spatial Statistics, 2024 - Elsevier
A scientific grasp of the macro law of coal mining accidents can contribute to strengthening
their prevention and control and guaranteeing a stable energy supply. In this study, 2,269 …

Impact of arbitrage trading between an ETF and its underlying assets on market liquidity of their markets using an agent-based simulation

X Guan, T Mizuta, I Yagi - Journal of Computational Social Science, 2024 - Springer
Exchange-traded funds (ETFs) are mutual funds that invest in a diversified portfolio of many
financial assets. They are listed on stock exchanges and traded as financial instruments. As …

Women and insurance pricing policies: a gender-based analysis with GAMLSS on two actuarial datasets

G Pernagallo, A Punzo, B Torrisi - Scientific Reports, 2024 - nature.com
In most of the United States, insurance companies may use gender to determine car
insurance rates. In addition, several studies have shown that women over the age of 25 …

An entropy-based measure of correlation for time series

G Pernagallo - Information Sciences, 2023 - Elsevier
In this paper, an information-based measure of association between time series, called
information-based correlation coefficient (ICC), is introduced to potentially overcome some …

The Impact of the COVID-19 pandemic on stock markets: evidence from a VAR model

R Dias, JM Pereira - … Journal of Entrepreneurship and Governance in …, 2020 - igi-global.com
COVID-19 has had a marked impact on the global economy, resulting in uncertainty,
pessimism, and adverse effects on financial markets. In light of this event, this paper aims to …

Random Walks and Market Efficiency: Gold, Platinum, Silver Vs Asia Equity Markets

R Dias, P Alexandre, C Vasco, P Heliodoro… - 5th EMAN Conference …, 2021 - ceeol.com
This paper aims to analyze the efficiency, in its weak form, in the markets of commodities,
Platinum (London Platinum Free Market $/Troy oz), GOLD (Gold Bullion LBM $/t oz DELAY) …

Stock prices' long memory in China and the United States

Z Tan, Y Fu, H Cheng, J Liu - International Journal of Emerging …, 2022 - emerald.com
Purpose This study aims to examine the long memory as well as the effect of structural
breaks in the US and the Chinese stock markets. More importantly, it further explores …