Explaining international stock correlations with CPI fluctuations and market volatility

Journal of Banking and Finance

Volumn 33, Issue 11, 2009, Pages 2026-2035

  Cai, Yijie ^a   Chou, Ray Yeutien ^b   Li, Dan ^a  

^a XI'AN JIAOTONG UNIVERSITY   (China)

^b NATIONAL CHIAO TUNG UNIVERSITY   (Taiwan)

Author keywords

CARR; CPI rates; Global volatility; International stock markets; Smooth transition

Indexed keywords

EID: 70249107443     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.05.013     Document Type: Article

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