Stock exchange mergers and return co-movement: A flexible dynamic component correlations model
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References listed on IDEAS
- Tano Santos & Jose A. Scheinkman, 2001. "Financial Intermediation without Exclusivity," American Economic Review, American Economic Association, vol. 91(2), pages 436-439, May.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Liu, Yuna, 2016. "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations," Umeå Economic Studies 926, Umeå University, Department of Economics.
- Liu, Yuna, 2016. "Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers," Umeå Economic Studies 925, Umeå University, Department of Economics.
- Economou, Fotini & Gavriilidis, Konstantinos & Goyal, Abhinav & Kallinterakis, Vasileios, 2015. "Herding dynamics in exchange groups: Evidence from Euronext," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 228-244.
More about this item
KeywordsTime-varying correlation; Long-run trend; Transitory component; C-GARCH;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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