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Bank of Canada RSS Feedsen2024-03-28T11:35:10+00:00Identifying Asymmetric Comovements of International Stock Market Returns
https://www.bankofcanada.ca/2010/08/working-paper-2010-21/
Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns.2010-08-05T15:32:38+00:00enIdentifying Asymmetric Comovements of International Stock Market Returns2010-08-05Econometric and statistical methodsFinancial stabilityFinancial system regulation and policiesInternational topicsWorking Paper 2010-21https://www.bankofcanada.ca/wp-content/uploads/2010/08/wp10-21.pdfIdentifying Asymmetric Comovements of International Stock Market ReturnsFuchun LiAugust 2010CC4C49FF2F21GG1G15G19