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An Index of Co-Movements in Financial Time Series

Author

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  • Sentana, E.
  • Shah, M.

Abstract

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Suggested Citation

  • Sentana, E. & Shah, M., 1994. "An Index of Co-Movements in Financial Time Series," Papers 9415, Centro de Estudios Monetarios Y Financieros-.
    • Handle: RePEc:fth:cemfdt:9415
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    Cited by:

    1. 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.
    2. 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.
    3. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    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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    Keywords

    TIME SERIES; ECONOMETRICS;

    Statistics

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