Investigating the drivers of international comovement in real financial asset returns - McKinnon, Kate (Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, 2019)
https://econpapers.repec.org/paper/eencamaaa/2019-84.htm
Keywords: Graue Literatur; Common shocks; international return comovements; asset pricing; Bayesian estimation; dynamic factor models; sentiment