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SSRNEconometrics & Forecasting

Relationship between the S&P 500 index and its constituents: A regime-switching copula approach and a model-free asymmetry test

The study reveals an asymmetric relationship between the returns of the S&P 500 index and its constituents during high market volatility, especially for stocks with lower dividends and higher return volatilities.

Featured in No. 48 on 8 May 2024 · 5 days after release · 0 citations today

Released
3 May 2024
First featured
No. 48 · 8 May 2024
Citations (Semantic Scholar)
0
Influential citations
0
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
3
Identifier
SSRN 4815835

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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