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Statistical Analysis of the Correlation between Italian and U.S. Stock Returns

Author

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  • Corrado Crocetta
  • Nicola Loperfido

Abstract

An estimator of the correlation between Italian and U.S. Stock Returns is introduced. The properties of the estimator are invariant with respect to a wide class of GARCH models. The empirical evidence shows the existence of a positive correlation between Italian an U. S. stock returns.

Suggested Citation

  • Corrado Crocetta & Nicola Loperfido, 2003. "Statistical Analysis of the Correlation between Italian and U.S. Stock Returns," Quaderni DSEMS 12-2003, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    • Handle: RePEc:ufg:qdsems:12-2003
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    Keywords

    GARCH models; Invariance; Stock Returns.;
    All these keywords.

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