Export pricing and the cross-country correlation of stock prices
نویسندگان
چکیده
منابع مشابه
APPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK PRICES
The analysis of cross-correlations is extensively applied for understanding of interconnections in stock markets. Variety of methods are used in order to search stock cross-correlations including the Random Matrix Theory (RMT), the Principal Component Analysis (PCA) and the Hierachical Structures. In this work, we analyze cross-crrelations between price fluctuations of 20 company stocks...
متن کاملapplication of the random matrix theory on the cross-correlation of stock prices
the analysis of cross-correlations is extensively applied for understanding of interconnections in stock markets. variety of methods are used in order to search stock cross-correlations including the random matrix theory (rmt), the principal component analysis (pca) and the hierachical structures. in this work, we analyze cross-crrelations between price fluctuations of 20 company stocks...
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Revisiting Cross-Country Correlation Anomalies
A productivity shock leads to a large international transfer of capital in the typical two-country real business cycle model. Most recent models that attempt to reduce or remove this transfer produce unrealistically low investment volatility. We show that adding learning-by-doing to the technological environment of a relatively standard international business cycle model can ameliorate this pro...
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ژورنال
عنوان ژورنال: Review of Financial Economics
سال: 2011
ISSN: 1058-3300
DOI: 10.1016/j.rfe.2011.03.002