Time-varying Correlations of Russian and U.S. Equity Returns
AbstractIn this paper we looked at the changes in correlations between the Russian an U.S. equity market returns from September 1995 to October 2003. The correlations were estimated using the “Dynamic Conditional Correlation Model.” We further investigated the economic factors that cause the changes in the correlations between the returns and found that at the interest rate spread between the Russian and U.S. government bonds, changes in exchange rates and changes in world energy prices had statistically significant effect on the correlations at the overall market level.
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Bibliographic InfoPaper provided by EconWPA in its series International Finance with number 0403006.
Length: 27 pages
Date of creation: 05 Mar 2004
Date of revision:
Note: Type of Document - pdf; prepared on WinXP; to print on HP deskjet 940C; pages: 27; figures: Figures are within the text
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GARCH; Time-varying correlations; Russia;
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-07 (All new papers)
- NEP-CIS-2004-03-07 (Confederation of Independent States)
- NEP-ETS-2004-03-07 (Econometric Time Series)
- NEP-FIN-2004-03-07 (Finance)
- NEP-FMK-2004-03-07 (Financial Markets)
- NEP-IFN-2004-03-07 (International Finance)
- NEP-RMG-2004-03-07 (Risk Management)
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