Stochastic correlation across international stock markets

Journal of Empirical Finance - Tập 7 - Trang 373-388 - 2000
Clifford A Ball1, Walter N Torous2
1Owen Graduate School of Management Vanderbilt University Nashville TN 37203 USA
2Anderson School of Management, UCLA, Los Angeles, CA 90095, USA

Tài liệu tham khảo

Abramowitz, 1965 Anderson, 1984 Ang, A., Bekaert, G., 1998. Regime Switches in Interest Rates. Unpublished manuscript, Graduate School of Business, Stanford University. Ball, 1999, The stochastic volatility of short term interest rates: some international evidence, Journal of Finance, 54, 2339, 10.1111/0022-1082.00191 Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1 Bollerslev, 1990, Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach, Review of Economics and Statistics, 72, 498, 10.2307/2109358 Engle, 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987, 10.2307/1912773 Fahrmeir, 1992, Posterior mode estimation by extended Kalman filtering for multivariate dynamic generalized linear models, Journal of the American Statistical Association, 87, 501, 10.2307/2290283 Fisher, 1921, On the “probable error” of a coefficient of correlation deduced from a small sample, Metron, 1, 3 Frühwirth-Schnatter, 1994, Applied state space modelling of non-gaussian time series using integration-based Kalman filtering, Statistics and Computing, 4, 259, 10.1007/BF00156749 Harvey, 1994, Multivariate stochastic volatility models, Review of Economic Studies, 61, 247, 10.2307/2297980 Johnson, 1995, vol. 2 Karolyi, 1996, Why do markets move together? An analysis of US–Japan stock return comovements, Journal of Finance, 51, 951, 10.2307/2329228 Kim, 1998, Stochastic volatility: likelihood, inference and comparison with ARCH models, Review of Economic Studies, 65, 361, 10.1111/1467-937X.00050 Kroner, 1998, Modeling asymmetric comovements of asset returns, Review of Financial Studies, 11, 817, 10.1093/rfs/11.4.817 Longin, 1995, Is correlation in international equity returns constant: 1960–1990?, Journal of International Money and Finance, 1995, 3, 10.1016/0261-5606(94)00001-H Nelson, 1991, Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347, 10.2307/2938260 Ramachand, 1998, Volatility and cross-correlation across major stock markets, Journal of Empirical Finance, 5, 397, 10.1016/S0927-5398(98)00003-6 Solnik, 1996, International market correlation and volatility, Financial Analysts Journal, 52, 17, 10.2469/faj.v52.n5.2021