A Wavelets Analysis of MENA stock markets
نویسنده
چکیده
In this paper we apply the wavelets methodology to the analysis of the comovements of for some MENA countries from June 1997 until March 2005. We decompose weekly stock market returns into di¤erent time scale components using the non-decimated discrete wavelet transform and then analyze the relationships among these variables at the di¤erent time scales. Keywords : Stock market returns, Wavelet correlation, Comovements JEL classi cation : C22, E31
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