Changes in the international comovement of stock returns and asymmetric macroeconomic shocks

Journal of International Financial Markets, Institutions and Money

Volumn 19, Issue 2, 2009, Pages 289-305

  Kizys, Renatas ^a   Pierdzioch, Christian ^b  

^a SCHOOL OF ENGINEERING AND SCIENCES   (Mexico)

^b SAARLAND UNIVERSITY   (Germany)

Author keywords

Asymmetric macroeconomic shocks; International comovement of stock returns; Panel data model; Time series regression model; Time varying parameter model

Indexed keywords

EID: 57949099145     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2008.01.002     Document Type: Article

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