Another look at the relationship between cross-market correlation and volatility

Finance Research Letters

Volumn 2, Issue 2, 2005, Pages 75-88

  Bartram, Söhnke M ^a   Wang, Yaw Huei ^b  

^a LANCASTER UNIVERSITY   (United Kingdom)

^b NATIONAL CENTRAL UNIVERSITY   (Taiwan)

Author keywords

Co movement; Contagion; Correlation; Dependence; Simulation; Volatility

Indexed keywords

EID: 18744384932     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2005.01.002     Document Type: Article

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