International Stock Comovements with Endogenous Clusters
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DOI: 10.20955/wp.2018.038
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- Coroneo, Laura & Jackson, Laura E. & Owyang, Michael T., 2020. "International Stock Comovements with Endogenous Clusters," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
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- Liu, Yuntong & Wei, Yu & Wang, Qian & Liu, Yi, 2022. "International stock market risk contagion during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 45(C).
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More about this item
Keywords
diversification; risk; international financial markets; clustered factor model;All these keywords.
JEL classification:
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2019-01-21 (Financial Markets)
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