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Modelling Time-varying Conditional Correlation Across International Equity Markets
Language: en
Pages: 193
Authors: Mahendra Chandra
Categories: Futures market
Type: BOOK - Published: 2005 - Publisher:

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Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets
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[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of
Linkages Among Asset Markets in the United States
Language: en
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Authors: Mr.Salim M. Darbar
Categories: Business & Economics
Type: BOOK - Published: 1999-11-01 - Publisher: International Monetary Fund

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This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the i
Co-Movements in International Equity Markets
Language: en
Pages:
Authors: Salim M. Darbar
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Type: BOOK - Published: 1997 - Publisher:

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We examine the co-movements of equity returns in four major international markets by characterizing the time-varying cross-country covariances and correlations.
Extreme Correlation of International Equity Markets
Language: en
Pages: 44
Authors: François M. Longin
Categories: International finance
Type: BOOK - Published: 2000 - Publisher:

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