Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion.
Monica BillioMassimiliano CaporinPublished in: Comput. Stat. Data Anal. (2010)
Keyphrases
- empirical evidence
- financial markets
- correlation coefficient
- stock market
- stock price
- financial data
- financial institutions
- financial crisis
- decision making
- stock returns
- foreign exchange
- portfolio selection
- risk management
- stability analysis
- trading strategies
- variance reduction
- stock exchange
- portfolio management
- low variance
- covariance matrix
- trading systems
- exchange rate
- intra class