Is the covariance of international stock market returns regime dependent?
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DOI: 10.1080/13518470010042210
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- Cifarelli, Giulio & Paladino, Giovanna, 2005. "Volatility linkages across three major equity markets: A financial arbitrage approach," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 413-439, April.
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Keywords
Swarch Correlation International Financial Markets;Statistics
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