Dispersion as Cross-Sectional Correlation-Reference-Cited by-同舟云学术

Dispersion as Cross-Sectional Correlation

Published:2000-01 Issue:1 Volume:56 Page:54-61
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Solnik Bruno¹,Roulet Jacques²

Affiliation:

1. Bruno Solnik is professor of finance at the HEC School of Management, France.

2. Jacques Roulet is head of Quantitative Research & New Product Development at Morgan Stanley Capital International. At the time this article was written, Mr. Roulet was with Lombard Odier & Cie.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v56.n1.2330

Reference6 articles.

1. Forecasting International Equity Correlations

2. Modeling Asymmetric Comovements of Asset Returns

3. Pricing of Domestic versus Multinational Companies

4. Is the correlation in international equity returns constant: 1960–1990?

5. Volatility and cross correlation across major stock markets

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