On the Sources of U.S. Stock Market Comovement

URN to cite this document:: urn:nbn:de:bvb:355-epub-135817
DOI to cite this document:: 10.5283/epub.13581

Weber, Enzo

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Date of publication of this fulltext: 17 Mar 2010 13:09

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Abstract

This paper disentangles direct spillovers and common factors as sources of correlations in simultaneous heteroscedastic systems. While these different components are not identifiable by standard means without restrictions, it is shown that they can be pinned down by specifying the variances of the latent idiosyncratic and common shocks as ARCH-type processes. Applying an adapted Kalman filter ...