Computing stock price comovements with a three-regime panel smooth transition error correction model
This paper studies the hypothesis of stock price comovements toward the US market for a
large sample of developed and emerging stock markets (G6, BRICS, and MENA) over the …
large sample of developed and emerging stock markets (G6, BRICS, and MENA) over the …
Modeling international stock price comovements with high-frequency data
This paper studies stock price comovements in two key regions [the United States and
Europe, which is represented by three major European developed countries (France …
Europe, which is represented by three major European developed countries (France …