Statistical Analysis of the Correlation between Italian and U.S. Stock Returns

An estimator of the correlation between Italian and U.S. Stock Returns is introduced. The properties of the estimator are invariant with respect to a wide class of GARCH models. The empirical evidence shows the existence of a positive correlation between Italian an U. S. stock returns.

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Year of publication:	2003-11
Authors:	Crocetta, Corrado ; Loperfido, Nicola
Institutions:	Dipartimento di Scienze Economiche, Matematiche e Statistiche, Dipartimento di Economia
Subject:	GARCH models \| Invariance \| Stock Returns

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Extent:	application/pdf
Series:	Quaderni DSEMS.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005465186