haku: @author Bera, A.K. / yhteensä: 1
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| Tekijä: | Bera, A.K. Kim, S. |
| Otsikko: | Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns |
| Lehti: | Journal of Empirical Finance
2002 : MAR, VOL. 9:2, p. 171-195 |
| Asiasana: | AUTOCORRELATION REGRESSION ANALYSIS STOCK RETURNS |
| Vapaa asiasana: | TIME-VARYING CORRELATIONS |
| Kieli: | eng |
| Tiivistelmä: | 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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