Firm-Level Evidence on International Stock Market Comovement

By Robin Brooks, Marco del Negro. Social Science Research Network, 2003

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International comovement of stock market returns: a wavelet analysis (2009, methodology): “The most commonly used mother wavelet is the Morlet wavelet and is defined as ψ(t) = π− 1 4 μ e0 − e− ω(2)0 2 ¶ e −t2 2 (5) Since the term e− ω(2)0 2 becomes negligible for an appropriate ω0, the Morlet wavelet is simply defined as ψ(t) = π− 1 4 e0e −t2 2 (6) with the corresponding Fourier transform”
Dynamic Hierarchical Factor Models (2013, methodology): “Our model can also be used to analyze the relative importance of country-level and global variations such as in Glick and Rogoff (1995), or market-wide versus industry-specific variations such as in Brooks and DelNegro (2006). The remainder of this paper is organized as follows.”