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Measuring time-varying financial market integration: An unobserved components approach

  • Published:2013-02 Issue:2 Volume:37 Page:463-473
  • ISSN:0378-4266
  • Container-title:Journal of Banking & Finance
  • language:en
  • Short-container-title:Journal of Banking & Finance

Author:

Berger Tino,Pozzi Lorenzo

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference36 articles.

1. EMU and European government bond market integration;Abad;Journal of Banking and Finance,2010

2. Abad, P., Chulia, H., Gomez-Puig, M., 2011. Time-Varying Integration in European Government Bond Markets. Working Paper, University of Barcelona.

3. Equity returns and integration: is Europe changing?;Adjaoute;Oxford Review of Economic Policy,2004

4. Measuring international economic linkages with stock market data;Ammer;Journal of Finance,1996

5. Measuring financial market integration;Baele;Oxford Review of Economic Policy,2004

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