Stock exchange mergers and return co-movement: A flexible dynamic component correlations model

被引：5
|
作者：
Hellstrom, Jorgen [1 ]
Liu, Yuna [1 ]
Sjogren, Tomas [1 ]
机构：
[1] Umea Univ, Umea Sch Business & Econ, SE-90187 Umea, Sweden
来源：
ECONOMICS LETTERS | 2013年 / 121卷 / 03期
关键词：
Time-varying correlation; Long-run trend; Transitory component; C-GARCH;
D O I：
10.1016/j.econlet.2013.10.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The creation of a common cross-border stock trading platform is found, by use of a Flexible Dynamic Component Correlations (FDCC) model, to have increased long-run trends in conditional correlations between foreign and domestic stock market returns. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：511 / 515
页数：5
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