Search Results - subject:"CCF approach"

Return and Volatility Spillovers between Japanese and Chinese Stock MarketsFAn Analysis of Overlapping Trading Hours with High-frequency Data

Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro - Graduate School of Economics, Osaka University - 2012

residuals of which are then employed to test for causality in mean and in variance with a cross-correlation function (CCF …) approach. The results indicate a unidirectional influence from China to Japan both in terms of return and volatility. Further …

Persistent link: https://www.econbiz.de/10010837063

Dynamic linkages of stock prices among G7 countries: effects of the American financial crisis

Xu, Haifeng; Hamori, Shigeyuki - In: Economics Bulletin 30 (2010) 4, pp. 2656-2667

In this paper, we use the cross-correlation function developed by Cheung and Ng (1996) to investigate the dynamic linkages among G7 countries in the mean and volatility of stock prices from June 2, 2003, through July 31, 2010. In particular, we examined the impact of the American financial...

Persistent link: https://www.econbiz.de/10008677888

Energy prices and China’s international competitiveness

Chen, Guifu; Hamori, Shigeyuki - Volkswirtschaftliche Fakultät, … - 2009

This paper uses the CCF approach to analyze and determine whether there is a causal relationship between the world …

Persistent link: https://www.econbiz.de/10008490518