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Visualizing time-varying correlations across stock markets

  • Groenen, Patrick J. F.
  • Franses, Philip Hans

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/pii/S0927-5398(00)00009-8
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 7 (2000)
Issue (Month): 2 (August)
Pages: 155-172

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Handle: RePEc:eee:empfin:v:7:y:2000:i:2:p:155-172
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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  1. Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 167-76, April.
  2. Bekaert, Geert & Harvey, Campbell R. & Lumsdaine, Robin L., 2002. "Dating the integration of world equity markets," Journal of Financial Economics, Elsevier, vol. 65(2), pages 203-247, August.
  3. P. J. F. Groenen & W. J. Heiser & J. J. Meulman, 1999. "Global Optimization in Least-Squares Multidimensional Scaling by Distance Smoothing," Journal of Classification, Springer;The Classification Society, vol. 16(2), pages 225-254, July.
  4. J. Kruskal, 1964. "Multidimensional scaling by optimizing goodness of fit to a nonmetric hypothesis," Psychometrika, Springer;The Psychometric Society, vol. 29(1), pages 1-27, March.
  5. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
  6. Peter Schönemann & Robert Carroll, 1970. "Fitting one matrix to another under choice of a central dilation and a rigid motion," Psychometrika, Springer;The Psychometric Society, vol. 35(2), pages 245-255, June.
  7. Patrick Groenen & Willem Heiser, 1996. "The tunneling method for global optimization in multidimensional scaling," Psychometrika, Springer;The Psychometric Society, vol. 61(3), pages 529-550, September.
  8. Norman Cliff, 1966. "Orthogonal rotation to congruence," Psychometrika, Springer;The Psychometric Society, vol. 31(1), pages 33-42, March.
  9. Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-44.
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