Time-series and cross-sectional excess comovement in stock indexes

Journal of Empirical Finance

Volumn 15, Issue 3, 2008, Pages 481-502

  Kallberg, Jarl ^a   Pasquariello, Paolo ^b  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Contagion; Correlation; Excess comovement

Indexed keywords

EID: 42949132222     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2007.06.002     Document Type: Article

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