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Country and sector-specific spillover effects in the euro area, the United States and Japan

  • Kaltenhaeuser, Bernd
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    JEL Classification: F36, G15

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    File URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp286.pdf
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    Paper provided by European Central Bank in its series Working Paper Series with number 0286.

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    Date of creation: Nov 2003
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    Handle: RePEc:ecb:ecbwps:20030286
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    1. Robin Brooks & Marco Del Negro, 2002. "The rise in comovement across national stock markets: market integration or IT bubble?," Working Paper 2002-17, Federal Reserve Bank of Atlanta.
    2. Kpate Adjaoute & Jean-Pierre Danthine, 2004. "Portfolio diversification: alive and well in Euro-land!," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1225-1231.
    3. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
    4. Hardouvelis, Gikas A & Malliaropoulos, Dimitrios & Priestley, Richard, 1999. "EMU and European Stock Market Integration," CEPR Discussion Papers 2124, C.E.P.R. Discussion Papers.
    5. R-P. Berben & W.J. Jansen, 2001. "Comovement in International Equity Markets: a Sectoral View," MEB Series (discontinued) 2001-11, Netherlands Central Bank, Monetary and Economic Policy Department.
    6. Kenneth R. French & James M. Poterba, 1991. "Investor Diversification and International Equity Markets," NBER Working Papers 3609, National Bureau of Economic Research, Inc.
    7. Baele, L., 2003. "Volatility Spillover Effects in European Equity Markets," Discussion Paper 2003-114, Tilburg University, Center for Economic Research.
    8. Luis Catão & Robin Brooks, 2000. "The New Economy and Global Stock Return," IMF Working Papers 00/216, International Monetary Fund.
    9. Fratzscher, Marcel, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series 0048, European Central Bank.
    10. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
    11. Kpate ADJAOUTÉ, & Jean-Pierre DANTHINE, 2000. "EMU and Portfolio Diversification Opportunities," FAME Research Paper Series rp31, International Center for Financial Asset Management and Engineering.
    12. K. Rouwenhorst, 1998. "European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing?," Yale School of Management Working Papers ysm103, Yale School of Management, revised 01 Aug 2000.
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