Dispersion as Cross-Sectional Correlation

By Bruno Solnik, J. Roulet. 2000

172 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8cecef28248233296c16086f8e52a847524f43a7

Citations in the corpus

• Correlation Dynamics and International Diversification Benefits (2014, unknown): “However, as discussed by Solnik and Roulet (2000), the implementation of these models using large numbers of countries is subject to well known dimensionality problems.”
• Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012, unknown): “9See for instance Solnik and Roulet (2000) for a discussion.”
• MEASURING FINANCIAL INTEGRATION IN NEW EU MEMBER STATES (2008, unknown): “Several recent papers use changes in returns dispersion to test the law of one price (see, for example, Solnik and Roulet, 2000, Adjaouté and Danthine, 2004, Baele et al., 2004, Byström, 2006, and Eiling and Gerard, 2006).”