Time-Series and Cross-Sectional Excess Comovement in Stock Indexes

By Jarl G. Kallberg, Paolo Pasquariello. 2008

111 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/de5d26a2a9a0e986919252eeff7af837668191ff

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Menachem Brenner
2. Marti G. Subrahmanyam
3. Robert C. Jung
4. Paolo Pasquariello
5. Robert Maderitsch
6. Jarl G. Kallberg

In Finance

1. Marti G. Subrahmanyam
2. Menachem Brenner
3. Robert C. Jung
4. Paolo Pasquariello
5. Robert Maderitsch
6. Christian H. Weiβ
7. Jarl G. Kallberg

Citations in the corpus

• On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements (2009, background): “, Shiller (1989), King and Wadhwani (1990), Pindyck and Rotemberg (1990), (1993), Karolyi and Stulz (1996), and Connolly and Wang (2003)), from more intense portfolio rebalancing activity across stocks and bonds (e.”
• Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? (2014, background): “In this state, Kallberg and Pasquariello (2008) and Baele and Inghelbrecht (2010) assume market linkages to be driven by fundamentals.”
• The on-the-run liquidity phenomenon (2009, unknown): “, about fundamentals or past trading activity), skills, processing abilities, or resources—is commonly found in most financial markets (e.g., Diether, Malloy, and Scherbina, 2002; Sadka and Scherbina, 2007; Kallberg and Pasquariello, 2008), including those for government bonds (e.”