to providing new insights on contagion during crisis periods, we document patterns through time in world and regional … two-factor model with time-varying betas that accommodates various degrees of market integration between different markets …

to providing new insights on contagion during crisis periods, we document patterns through time in world and regional … two-factor model with time-varying betas that accommodates various degrees of market integration between different markets …

Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which …-form model for a number of financial time-series (for example, equity returns and dividend yields) and search for a common break … equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very …