On the Sources of U.S. Stock Market Comovement
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- Weber, Enzo, 2013.
"Simultaneous stochastic volatility transmission across American equity markets,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 53(1), pages 53-60.
- Enzo Weber, 2008. "Simultaneous Stochastic Volatility Transmission Across American Equity Markets," SFB 649 Discussion Papers SFB649DP2008-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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KeywordsSimultaneous System; Latent Factor; Identification; Spillover; EGARCH;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-24 (All new papers)
- NEP-ECM-2010-07-24 (Econometrics)
- NEP-ETS-2010-07-24 (Econometric Time Series)
- NEP-FMK-2010-07-24 (Financial Markets)
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