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On the Sources of U.S. Stock Market Comovement

Weber, Enzo (2010) On the Sources of U.S. Stock Market Comovement. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 439, Working Paper.

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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 ...

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Item type:Monograph (Working Paper)
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:
ValueType
RePEc:bay:rdwiwi:13581RePEc Handle
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
Owner only: item control page

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