Volatiltiy and Links Between National Stock Markets
收藏NBER1990-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w3357
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资源简介：
The empirical objective of this study is to account for the time-variation the covariances between markets. Using data on sixteen national stock markets, we estimate a multivariate factor model in which the volatility of returns is induced by changing volatility in the orthogonal factors. Excess
提供机构：
美国国家经济研究局
创建时间：
1990-05-01
