Statistical Analysis of the Correlation between Italian and U.S. Stock Returns
AbstractAn 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.
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Bibliographic InfoPaper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number 12-2003.
Date of creation: Nov 2003
Date of revision:
GARCH models; Invariance; Stock Returns.;
This paper has been announced in the following NEP Reports:
- NEP-ACC-2004-07-18 (Accounting & Auditing)
- NEP-ALL-2004-07-18 (All new papers)
- NEP-ECM-2004-07-18 (Econometrics)
- NEP-FIN-2004-07-18 (Finance)
- NEP-FMK-2004-07-18 (Financial Markets)
- NEP-RMG-2004-03-28 (Risk Management)
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