This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

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

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Corrado Crocetta ()
Nicola Loperfido

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.dsems.unifg.it/abstractq1203.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number 12-2003.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Nov 2003
Date of revision:
Handle: RePEc:ufg:qdsems:12-2003

Contact details of provider:
Postal: Largo Papa Giovanni Paolo II, 1 -71100- Foggia (I)
Phone: +390881753730
Fax: +390881775616
Web page: http://www.dsems.unifg.it
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Luca Grilli).

Related research
Keywords: GARCH models; Invariance; Stock Returns.;

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by encouraging others to use our services.

This page was last updated on 2009-11-12.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.