scholarly journals Testing for Convergence in Stock Markets: A Non-Linear Factor Approach

2009 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Burcu Erdogan ◽  
Vladimir Kuzin
Keyword(s):  
Stock Markets ◽  
Linear Factor ◽  
Non Linear

scholarly journals Testing for Convergence in Stock Markets: A Non-Linear Factor Approach

2009 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Burcu Erdogan ◽  
Vladimir Kuzin
Keyword(s):  
Stock Markets ◽  
Linear Factor ◽  
Non Linear

Non-Linear Factor Recovery for Visual-Inertial SLAM

2020 ◽  
Author(s):  
Liming Zhao ◽  
Dazhou Long ◽  
Yi Zhang ◽  
Xiaolin Hu ◽  
Bin Xing
Keyword(s):  
Linear Factor ◽  
Non Linear

scholarly journals A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective

DYNA ◽  
2016 ◽  
Vol 83 (196) ◽  
pp. 143-148 ◽  
Author(s):  
Semei Coronado-Ramirez ◽  
Omar Rojas-Altamirano ◽  
Rafael Romero-Meza ◽  
Francisco Venegas-Martínez
Keyword(s):  
Stock Market ◽  
Latin American ◽  
Stock Markets ◽  
Nonlinear Dependence ◽  
Standard And Poor's ◽  
Non Linear ◽  
Market Indexes

<p>This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.</p>

scholarly journals The impact of COVID-19 on global stock markets: early linear and non-linear evidence for Italy

2021 ◽  
Author(s):  
Theodoros Daglis ◽  
Ioannis G. Melissaropoulos ◽  
Konstantinos N. Konstantakis ◽  
Panayotis G. Michaelides
Keyword(s):  
Stock Markets ◽  
Non Linear ◽  
Global Stock Markets ◽  
The Impact ◽  
Global Stock

scholarly journals The adjustment speeds of short-run real estate investment trust (REIT) and corresponding stock returns in the USA and Australia

2017 ◽  
Vol 14 (3) ◽  
pp. 173-188
Author(s):  
Hao Fang ◽  
Yen-Hsien Lee ◽  
Jen-Sin Lee ◽  
Wei-Jui Chen
Keyword(s):  
Real Estate ◽  
Stock Markets ◽  
The United States ◽  
Stock Index ◽  
Real Estate Investment ◽  
The Us ◽  
Adjustment Speed ◽  
Non Linear ◽  
Short Run ◽  
Return Dynamics

This study first uses the non-linear co-integration with structural breaks by Gregory and Hansen (1996) to examine whether non-linear co-integration exists between real estate investment trusts (REITs) and corresponding stock markets in the United States and Australia. Second, we employ the smooth transition vector-error correction model (STVECM) including the generalized autoregressive conditional heteroskedasticity (GARCH) model to separately explore the adjustment efficiencies of non-linear short-run REIT and corresponding stock return dynamics, as well as respective REIT return dynamics when the long-run disequilibrium occurs. The results show that a structural break co-integration exists between the equity and mortgage REITs and stock markets in the US, between the REITs and stock markets in the Australia and between the REIT markets in both the US and Australia. When there are large positive and negative deviations of STVECM, the adjustment speed of reverting to equilibrium of the S&amp;amp;P 500 index is greater than that of the Mortgage REIT index. However, when there are large positive (negative) deviations of STVECM, the adjustment speed of reverting to equilibrium of the Australian REIT (stock) index is greater, and that of the Australian REIT (US REIT) index is greater. In addition, by using a non-linear Granger causality test by Hiemstra and Jones (1994), we find that credit price effects exist between the US for each type of REIT and stock markets regardless of large positive or negative deviations (or returns) in STVECM (or STVAR). However, there is a feedback effect exists between the REITs and the stock markets in Australia.

scholarly journals Measuring Global Cognition in a Pooled Sample using Modified Non-Linear Factor Analysis

2020 ◽  
Author(s):  
Max Reason ◽  
Yang Claire Yang ◽  
Allison Aiello ◽  
Dan Belsky ◽  
Patrick Curran ◽  
...  
Keyword(s):  
Public Health ◽  
Factor Analysis ◽  
Life Course ◽  
Adult Life ◽  
The United States ◽  
Linear Factor ◽  
Non Linear ◽  
Global Cognition ◽  
Pooled Sample ◽  
Representative Samples

Currently, studies of cognition and cognitive decline in the United States are limited by the use of samples that only provide data for respondents during one stage of the adult life course. By using an Integrative Data Analysis (IDA) framework, it is possible to pool multiple national representative samples together in order to create a unified dataset that includes respondents over the entire adult life course. This study applies an IDA framework to two independent public health datasets to create a commensurate measure of cognition using Modified Non-Linear Factor Analysis (MNLFA). The overall goal is to demonstrate the process of using MNLFA for the study of cognition in a pooled dataset.

scholarly journals Testing for Convergence in the European Insurance Sector: A Non-Linear Factor Approach

2012 ◽  
Vol 4 (2) ◽  
Author(s):  
Nicholas Apergis ◽  
Alexandros Gabrielsen ◽  
James Payne ◽  
Paolo Zagaglia
Keyword(s):  
Linear Factor ◽  
Insurance Sector ◽  
Non Linear ◽  
European Insurance
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