Stock exchanges industry consolidation and shock transmission
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Cited by:
- Clerc, L., 2007. "Understanding Asset Prices: Determinants and Policy Implications," Working papers 168, Banque de France.
- Julien Idier, 2011.
"Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models,"
The European Journal of Finance, Taylor & Francis Journals, vol. 17(1), pages 27-48.
- Idier, J., 2008. "Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models," Working papers 218, Banque de France.
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More about this item
Keywords
Equity market integration ; Cointegration ; Multivariate GARCH models.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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