Korhonen, Iikka; Peresetsky, Anatoly - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2013
We use a Kalman filter type model of financial markets to extract a global stochastic trend from the discrete non-synchronous data on daily stock market index returns of different stock exchanges. The model is tested for robustness. In addition, we derive “most important” hours of world...