search query: @author Wadhwani, S. / total: 8
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| Author: | King, M. Sentana, E. Wadhwani, S. |
| Title: | Volatility and links between national stock markets |
| Journal: | Econometrica
1994 : JUL, VOL. 62:4, p. 901-934 |
| Index terms: | STOCK MARKETS ASSETS PRICING |
| Language: | eng |
| Abstract: | The empirical objective of this study is to account for the time-variation in the covariances between stock markets, and to assess the extent of capital market integration. Using data on sixteen national stock markets, the authors estimate a multivariate factor model in which the volatility of returns is induced by changing volatility in the factors. Unanticipated returns are assumed to depend both on innovations in "observable" economic variables and on "unobservable" factors. |
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