Table of Contents
J. Risk Financial Manag., Volume 13, Issue 5 (May 2020) – 22 articles
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Cover Story (view full-size image) This paper dynamically analyses the comovements between Germany, the UK, and the US, and the [...] Read more. This paper dynamically analyses the comovements between Germany, the UK, and the US, and the countries of the European Union, using correlation coefficients based on detrended cross-correlation analysis (DCCA) and a sliding window approach, allowing for a time-varying analysis. Results suggest that Germany and other Eurozone countries generally share high levels of comovements, although the decision about Brexit reduced those connections. It is also possible to see that the subprime crisis increased the comovements among markets. View this paper.