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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. Kenneth R. French & James M. Poterba, 1991. "Investor Diversification and International Equity Markets," NBER Working Papers 3609, National Bureau of Economic Research, Inc.
    2. Gikas A. Hardouvelis & Dimitrios Malliaropulos & Richard Priestley, 2006. "EMU and European Stock Market Integration," The Journal of Business, University of Chicago Press, vol. 79(1), pages 365-392, January.
    3. John Y. Campbell, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, 02.
    4. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 832-857, September.
    5. Kpaté ADJAOUTE & Jean-Pierre DANTHINE, 2001. "Portfolio Diversification: Alive and Well in Euroland!," FAME Research Paper Series rp32, International Center for Financial Asset Management and Engineering.
    6. Fratzscher, Marcel, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series 0048, European Central Bank.
    7. 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.
    8. Baele, L., 2003. "Volatility Spillover Effects in European Equity Markets," Discussion Paper 2003-114, Tilburg University, Center for Economic Research.
    9. 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.
    10. 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.
    11. Adjaoute, Kpate & Danthine, Jean-Pierre, 2001. "EMU and Portfolio Diversification Opportunities," CEPR Discussion Papers 2962, C.E.P.R. Discussion Papers.
    12. Luis Catão & Robin Brooks, 2000. "The New Economy and Global Stock Return," IMF Working Papers 00/216, International Monetary Fund.
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