Weber, Enzo (2010) On the Sources of U.S. Stock Market Comovement. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 439, Working Paper.
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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 ...
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| Item type: | Monograph (Working Paper) | ||||
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| Series of the University of Regensburg: | Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft | ||||
| Date: | 16 March 2010 | ||||
| Institutions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie | ||||
| Interdisciplinary Subject Network: | Immobilien- und Kapitalmärkte | ||||
| Identification Number: |
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| Keywords: | Simultaneous System, Latent Factor, Identification, Spillover, EGARCH | ||||
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||
| Status: | Published | ||||
| Refereed: | No, this document will not be refereed | ||||
| Created at the University of Regensburg: | Yes | ||||
| Item ID: | 13581 |
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