Global risk aversion and emerging market return comovements
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DOI: 10.1016/j.econlet.2018.09.027
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More about this item
Keywords
Time-varying correlation; Risk aversion; International equity markets;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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