International stock comovements with endogenous clusters

DOI10.1016/j.jedc.2020.103904OpenAlexW2918173546MaRDI QIDQ2191509

Michael T. Owyang, Laura E. Jackson, Laura Coroneo

Publication date: 25 June 2020

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103904

zbMATH Keywords

riskdiversificationinternational financial marketsclustered factor model

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Model-based clustering of categorical time series
• Sampling-Based Approaches to Calculating Marginal Densities
• The Calculation of Posterior Distributions by Data Augmentation
• On Gibbs sampling for state space models
• Firm-Level Evidence on International Stock Market Comovement*

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