Volatility co-movements: A time-scale decomposition analysis

C-Tier

Journal: Journal of Empirical Finance

Year: 2015

Volume: 34

Issue: C

Pages: 34-44

Authors (3)

Cipollini, Andrea (Università degli Studi di Pale...) Cascio, Iolanda Lo (not in RePEc) Muzzioli, Silvia (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count