Livan, Giacomo; Alfarano, Simone; Milakovic, Mishael; … - Departament d'Economia, Universitat Jaume I - 2014
fluctuations that are absent from real returns. Once the excessive comovement is subtracted from individual financial time series … reduced then one should probably try to inhibit excess comovement first. At any rate, the excessive behavior in volatility and … comovement should not be studied in isolation of each other. …