Stock exchange mergers and return co-movement: A flexible dynamic component correlations model

The creation of a common cross-border stock trading platform is found, by use of a Flexible Dynamic Component Correlations (FDCC) model, to have increased long-run trends in conditional correlations between foreign and domestic stock market returns.

MoreLess

Year of publication:	2013
Authors:	Hellström, Jörgen ; Liu, Yuna ; Sjögren, Tomas
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 3, p. 511-515
Publisher:	Elsevier
Subject:	Time-varying correlation \| Long-run trend \| Transitory component \| C-GARCH

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; G12 - Asset Pricing ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041879