Series: IMF Working Papers
Author(s): Marco Del Negro , and Robin Brooks
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 2005
Keywords: Diversification, risk, stock returns, standard deviation, equation, standard deviations, correlation,
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks...