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Author: | Bera, A.K. Kim, S. |
Title: | Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns |
Journal: | Journal of Empirical Finance
2002 : MAR, VOL. 9:2, p. 171-195 |
Index terms: | AUTOCORRELATION REGRESSION ANALYSIS STOCK RETURNS |
Freeterms: | TIME-VARYING CORRELATIONS |
Language: | eng |
Abstract: | The standard practice in modeling asset return dynamics is to assume constant correlation. This paper is concerned with developing a formal test for constancy of correlation, and applying it to financial markets of the USA, Japan, Germany, the UK, France and Italy. |
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