Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data
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- Balázs Égert & Evžen Kočenda, 2011. "Time-varying synchronization of European stock markets," Empirical Economics, Springer, vol. 40(2), pages 393-407, April.
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More about this item
Keywords
stock markets; intraday data; comovements; bi-variate GARCH; European integration;All these keywords.
JEL classification:
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2007-04-21 (European Economics)
- NEP-MST-2007-04-21 (Market Microstructure)
- NEP-RMG-2007-04-21 (Risk Management)
- NEP-TRA-2007-04-21 (Transition Economics)
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