{"id":"https://openalex.org/W1600282276","doi":"https://doi.org/10.1080/1540496x.2005.11052617","title":"Time-Scale Decomposition of Price Transmission in International Markets","display_name":"Time-Scale Decomposition of Price Transmission in International Markets","publication_year":2005,"publication_date":"2005-08-01","ids":{"openalex":"https://openalex.org/W1600282276","doi":"https://doi.org/10.1080/1540496x.2005.11052617","mag":"1600282276"},"language":"en","primary_location":{"id":"doi:10.1080/1540496x.2005.11052617","doi":"https://doi.org/10.1080/1540496x.2005.11052617","is_oa":false,"landing_page_url":"https://doi.org/10.1080/1540496x.2005.11052617","pdf_url":null,"source":{"id":"https://openalex.org/S166264140","display_name":"Emerging Markets Finance and Trade","issn_l":"1061-2009","issn":["1061-2009","1540-496X","1558-0938"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Emerging Markets Finance and Trade","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://www.cea-uchile.cl/wp-content/uploads/doctrab/ASOCFILE120040719112724.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083239095","display_name":"Viviana P. Fernandez","orcid":"https://orcid.org/0000-0003-4726-2174","observed_orcids":["https://orcid.org/0000-0003-4726-2174"]},"institutions":[{"id":"https://openalex.org/I162148367","display_name":"Pontificia Universidad Cat\u00f3lica de Chile","ror":"https://ror.org/04teye511","country_code":"CL","type":"education","lineage":["https://openalex.org/I162148367"]},{"id":"https://openalex.org/I69737025","display_name":"University of Chile","ror":"https://ror.org/047gc3g35","country_code":"CL","type":"education","lineage":["https://openalex.org/I69737025"]}],"countries":["CL"],"is_corresponding":true,"raw_author_name":"VIVIANA FERNANDEZ","raw_affiliation_strings":["a  University of Chile","Pontifical Catholic University of Chile,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"a  University of Chile","institution_ids":["https://openalex.org/I69737025"]},{"raw_affiliation_string":"Pontifical Catholic University of Chile,","institution_ids":["https://openalex.org/I162148367"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5083239095"],"corresponding_institution_ids":["https://openalex.org/I162148367","https://openalex.org/I69737025"],"apc_list":null,"apc_paid":null,"fwci":1.1386,"has_fulltext":true,"cited_by_count":33,"citation_normalized_percentile":{"value":0.85385792,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"41","issue":"4","first_page":"57","last_page":"90"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9789999723434448,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9789999723434448,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.017500000074505806,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0019000000320374966,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/price-transmission","display_name":"price transmission","score":0.7879999876022339},{"id":"https://openalex.org/keywords/return-spillovers","display_name":"return spillovers","score":0.8700000047683716},{"id":"https://openalex.org/keywords/stock-market","display_name":"stock market","score":0.7559999823570251},{"id":"https://openalex.org/keywords/global-stock-indices","display_name":"world stock indices","score":0.5910000205039978},{"id":"https://openalex.org/keywords/time-scale-decomposition","display_name":"time-scale decomposition","score":0.7789999842643738},{"id":"https://openalex.org/keywords/wavelet-analysis","display_name":"wavelet analysis","score":0.9419999718666077},{"id":"https://openalex.org/keywords/g7-countries","display_name":"G7 countries","score":0.8050000071525574},{"id":"https://openalex.org/keywords/emerging-markets","display_name":"emerging markets","score":0.8849999904632568},{"id":"https://openalex.org/keywords/portfolio-risk-management","display_name":"portfolio risk management","score":0.7300000190734863}],"concepts":[{"id":"https://openalex.org/C158886217","wikidata":"https://www.wikidata.org/wiki/Q16799549","display_name":"Latin Americans","level":2,"score":0.7984089851379395},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.7078894376754761},{"id":"https://openalex.org/C3651065","wikidata":"https://www.wikidata.org/wiki/Q7204","display_name":"Middle East","level":2,"score":0.6043161153793335},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5956223011016846},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5857848525047302},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.502516508102417},{"id":"https://openalex.org/C76775654","wikidata":"https://www.wikidata.org/wiki/Q27231","display_name":"East Asia","level":3,"score":0.5009982585906982},{"id":"https://openalex.org/C191935318","wikidata":"https://www.wikidata.org/wiki/Q148","display_name":"China","level":2,"score":0.41068726778030396},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.34165865182876587},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.3311433792114258},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.20616763830184937},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.13405859470367432},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.08178842067718506},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1080/1540496x.2005.11052617","doi":"https://doi.org/10.1080/1540496x.2005.11052617","is_oa":false,"landing_page_url":"https://doi.org/10.1080/1540496x.2005.11052617","pdf_url":null,"source":{"id":"https://openalex.org/S166264140","display_name":"Emerging Markets Finance and Trade","issn_l":"1061-2009","issn":["1061-2009","1540-496X","1558-0938"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Emerging Markets Finance and Trade","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:edj:ceauch:189","doi":null,"is_oa":true,"landing_page_url":"http://www.cea-uchile.cl/wp-content/uploads/doctrab/ASOCFILE120040719112724.pdf","pdf_url":"http://www.cea-uchile.cl/wp-content/uploads/doctrab/ASOCFILE120040719112724.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"mag:3123003518","doi":null,"is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:edj:ceauch:189","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:mes:emfitr:v:41:y:2005:i:4:p:57-90","doi":null,"is_oa":false,"landing_page_url":"http://mesharpe.metapress.com/link.asp?target=contribution&id=EUT9UXLYCDLTHMGV","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:taf:emfitr:v:41:y:2005:i:4:p:57-90","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/1540496X.2005.11052617","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"},{"id":"pmh:oai:repositorio.uchile.cl:2250/124622","doi":null,"is_oa":false,"landing_page_url":"https://repositorio.uchile.cl/handle/2250/124622","pdf_url":null,"source":{"id":"https://openalex.org/S4306481413","display_name":"Universidad de Chile","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Art\u00edculo de revista"}],"best_oa_location":{"id":"pmh:oai:RePEc:edj:ceauch:189","doi":null,"is_oa":true,"landing_page_url":"http://www.cea-uchile.cl/wp-content/uploads/doctrab/ASOCFILE120040719112724.pdf","pdf_url":"http://www.cea-uchile.cl/wp-content/uploads/doctrab/ASOCFILE120040719112724.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1600282276.pdf","grobid_xml":"https://content.openalex.org/works/W1600282276.grobid-xml"},"referenced_works_count":14,"referenced_works":["https://openalex.org/W1581186231","https://openalex.org/W1985190666","https://openalex.org/W2005424182","https://openalex.org/W2005455195","https://openalex.org/W2008582516","https://openalex.org/W2019359248","https://openalex.org/W2028382798","https://openalex.org/W2060628720","https://openalex.org/W2112838465","https://openalex.org/W2115755118","https://openalex.org/W2128853545","https://openalex.org/W2164923280","https://openalex.org/W2219953233","https://openalex.org/W3021709961"],"related_works":["https://openalex.org/W7095277852","https://openalex.org/W2157335475","https://openalex.org/W2019272463","https://openalex.org/W2082296583","https://openalex.org/W73694449","https://openalex.org/W2254007754","https://openalex.org/W2230476506","https://openalex.org/W2075688091","https://openalex.org/W2070113133","https://openalex.org/W2267667242"],"abstract_inverted_index":{"This":[0],"paper":[1],"focuses":[2],"on":[3],"return":[4],"spillovers":[5,60,83,101],"in":[6,146],"stock":[7,20],"markets":[8],"at":[9,18,93],"different":[10,94],"time":[11,95],"scales":[12],"using":[13],"wavelet":[14],"analysis.":[15],"We":[16,148],"look":[17],"eight":[19],"indices":[21],"that":[22,150],"comprise":[23],"the":[24,34,37,46,50,62,70,88,110,115,133],"G7":[25,63,89],"countries,":[26],"emerging":[27,38,73,108,111],"Asia,":[28,74,109],"Western":[29],"Europe,":[30,66,75],"Eastern":[31,67],"Europe":[32,68,121],"and":[33,45,69,78,114,118,122,143],"Middle":[35,71],"East,":[36,40,72,113],"Far":[39,112],"Latin":[41,76,106,123],"America,":[42,44,77,107],"North":[43,79,103,126],"Pacific":[47,116],"region":[48],"for":[49],"period":[51],"1990-2002.":[52],"Our":[53,128],"estimation":[54],"results":[55,129],"show":[56],"evidence":[57],"of":[58,135],"price":[59,82,100],"from":[61,84,102,119],"countries":[64,90],"to":[65,87,105,125,132,156],"America.":[80,127],"However,":[81],"these":[85],"regions":[86],"are":[91,130,153],"weaker":[92],"scales.":[96],"Similarly,":[97],"we":[98],"find":[99],"America":[104,124],"region,":[117],"both":[120],"robust":[131],"existence":[134],"asymmetric":[136],"generalized":[137],"autoregressive":[138],"conditional":[139],"heteroskedasticity":[140],"(GARCH)":[141],"effects":[142],"serial":[144],"correlation":[145],"returns.":[147],"believe":[149],"our":[151],"findings":[152],"potentially":[154],"relevant":[155],"portfolio":[157],"risk":[158],"management.":[159]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-01T08:54:57.152042","created_date":"2016-06-24T00:00:00"}
