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Risk sharing and counter-cyclical variation in market correlations · Study

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ArticleRisk sharing and counter-cyclical variation in market correlations

A. Cevdet Aydemir2008

Article2008

Risk sharing and counter-cyclical variation in market correlations

A. Cevdet Aydemir

25 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Economic theories and models

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References

1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1978Asset Prices in an Exchange Economy 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1989Why Does Stock Market Volatility Change Over Time?1988A Capital Asset Pricing Model with Time-Varying Covariances 1997Foundations of International Macroeconomics

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2007Correlations 2021Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)

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Year2008

Typearticle

Published2008-01-07

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations25

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jedc.2007.11.006

openalex_workW2091128601

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