Figure 11a reports the median 20-day rolling correlation of log changes in bank and...daily index return for that day’s S&P500 (market)
return based on their 90-day...
slightly modify the
methodology in Harmon et al (2011) and measure the 52 week rolling...We compute the variance ratio ( ) for each region over 52 week...
Appendix presents the results based on the
alternative subsamples (rolling window...definition of the low-for-long period, Table A1 in Appendix provides results using...
