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• W2017855637 abstract "This study investigates whether, how, and why the matrix of correlations across international equity markets changes over time. A theoretical model is proposed to specify potential economic determinants of this correlation structure. The empirical validity of this economic model is investigated by employing daily returns for different national stock indexes, from 1972 through 1993, to construct a quarterly time series of the correlation matrix. This quarterly time series is used to investigate the stability of the correlation matrix over time, and to estimate the economic model. The model is then applied to generate out-of-sample forecasts of the correlation structure. Keywords: International market integration JEL classification: F36, G15." @default.
• W2017855637 created "2016-06-24" @default.
• W2017855637 creator A5000695323 @default.
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• W2017855637 date "1999-11-01" @default.
• W2017855637 modified "2023-10-02" @default.
• W2017855637 title "Economic determinants of the correlation structure across international equity markets" @default.
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• W2017855637 doi "https://doi.org/10.1016/s0148-6195(99)00021-1" @default.
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