Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach
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DOI: 10.1007/s10614-016-9596-x
Abstract: The paper revisits the question of how stock return comovement varies with volatility and market returns. I propose an eigenvalue-based measure of comovement implied by the state-dependent correlation matrix estimated using a novel multivariate semi-Markov-switching… read more here.
Keywords: markov switching; stock return; comovement;