From Black Wednesday to Brexit : macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom
Year of publication: |
2023
|
---|---|
Authors: | Gottschalk, Sylvia |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 3, p. 2843-2873
|
Subject: | Brexit | dynamic conditional correlation (DCC) of equity returns | European financial integration | portfolio diversification | structural break in dynamic correlations | Großbritannien | United Kingdom | Korrelation | Correlation | Kapitaleinkommen | Capital income | Spanien | Spain | Deutschland | Germany | Frankreich | France | Italien | Italy | EU-Staaten | EU countries | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Schock | Shock | Aktienmarkt | Stock market | Strukturbruch | Structural break | Finanzmarkt | Financial market | Schätzung | Estimation | Marktintegration | Market integration |
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