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On the Fisher–Konieczny index of price changes synchronization

✍ Scribed by D.A. Dias; C. Robalo Marques; P.D. Neves; J.M.C. Santos Silva


Book ID
116421038
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
79 KB
Volume
87
Category
Article
ISSN
0165-1765

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any empirical studies of daily returns on common stocks and other financial M assets in United States markets have reported daily. patterns that are seemingly inexplicable (Cross, 1973, French, 1980, Gibbons and Hess, 1981 and Keim and Stambaugh, 1984). Recently, Jaffe and Westerfield (1985) report