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An Index of Co-Movements in Financial Time Series

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  • Enrique Sentana
  • Mushtaq Shah

Abstract

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Suggested Citation

  • Enrique Sentana & Mushtaq Shah, 1994. "An Index of Co-Movements in Financial Time Series," Working Papers wp1994_9415, CEMFI.
    • Handle: RePEc:cmf:wpaper:wp1994_9415
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    Cited by:

    1. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    2. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
    3. Sentana, Enrique, 1995. "Risk and return in the Spanish stock market," LSE Research Online Documents on Economics 119179, London School of Economics and Political Science, LSE Library.
    4. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

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