Economic sources of asymmetric cross-correlation among stock returns

International Review of Economics and Finance

Volumn 10, Issue 1, 2001, Pages 19-40

  Yu, Chih Hsien ^a   Wu, Chunchi ^b  

^a NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

^b SYRACUSE UNIVERSITY   (United States)

Author keywords

Asymmetric cross correlation; Economic factors; G10; G12; Return innovations; Risk premium

Indexed keywords

EID: 0042260937     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1059-0560(00)00069-1     Document Type: Article

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