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Stability and forecasting of the comovement measures of international stock market returns

✍ Scribed by Evi C. Kaplanis

Book ID
116116451
Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
925 KB
Volume
7
Category
Article
ISSN
0261-5606

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πŸ“œ SIMILAR VOLUMES

Modelling and forecasting stock returns:
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers
✍ Professor Lucio Sarno; Giorgio Valente πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 291 KB

## Abstract This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime‐switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices si