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Nonequilibrium and information: The role of cross correlations

✍ Scribed by Crisanti, A.; Puglisi, A.; Villamaina, D.


Book ID
111907766
Publisher
The American Physical Society
Year
2012
Tongue
English
Weight
656 KB
Volume
85
Category
Article
ISSN
1063-651X

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## Abstract We investigate characteristics of cross‐market correlations using daily data from U.S. stock, bond, money, and currency futures markets using a new multivariate GARCH model that permits direct hypothesis testing on conditional correlations. We find evidence that arrival of information i