A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 273-290.
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- Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
- Michele Campolieti & Deborah Gefang & Gary Koop, 2013. "A new look at variation in employment growth in Canada," Working Papers 26145565, Lancaster University Management School, Economics Department.
More about this item
KeywordsGlobalization; Industrialization; Industrial structure; International financial markets; International capital markets; Diversification; risk; stock returns; standard deviation; equation; standard deviations; correlation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-22 (All new papers)
- NEP-FMK-2005-10-22 (Financial Markets)
- NEP-RMG-2005-10-22 (Risk Management)
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