Comovement in international equity markets: A sectoral view
- 1 September 2005
- journal article
- Published by Elsevier in Journal of International Money and Finance
- Vol. 24 (5) , 832-857
- https://doi.org/10.1016/j.jimonfin.2005.04.001
Abstract
No abstract availableKeywords
All Related Versions
This publication has 29 references indexed in Scilit:
- Time-Varying Smooth Transition Autoregressive ModelsJournal of Business & Economic Statistics, 2003
- A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying CorrelationsJournal of Business & Economic Statistics, 2002
- An Evaluation of International Asset Pricing ModelsSSRN Electronic Journal, 2002
- Are Financial Assets Priced Locally or Globally?SSRN Electronic Journal, 2001
- Another look at the role of the industrial structure of markets for international diversification strategiesPublished by Elsevier ,1998
- National versus Global Influences on Equity ReturnsCFA Magazine, 1996
- Industry and Country Effects in International Stock ReturnsThe Journal of Portfolio Management, 1995
- Testing the constancy of regression parameters against continuous structural changeJournal of Econometrics, 1994
- A Unified Approach to Testing for Serial Correlation in Stock ReturnsThe Journal of Business, 1994
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariancesEconometric Reviews, 1992