Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks

Author:

Kim Myeong Hyeon,Sun Lingxia

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference55 articles.

1. The network origins of aggregate fluctuations;Acemoglu;Econometrica,2012

2. Atalay, E. (2014). How important are sectoral shocks? US Census Bureau Center for Economic Studies Paper No. CES-WP-14-31.

3. Emerging equity market volatility;Bekaert;Journal of Financial Economics,1997

4. Market integration and contagion;Bekaert;The Journal of Business,2005

5. Optimal investment, growth options, and security returns;Berk;The Journal of Finance,1999

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