مرکز منطقه ای اطلاع رساني علوم و فناوري - Returns synchronization and daily correlation dynamics between international stock markets

Title of article :

Returns synchronization and daily correlation dynamics between international stock markets

Author/Authors :

Martin Martens، نويسنده , , Ser-Huang Poon، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2001

Pages :

From page :

1805

To page :

1827

Keywords :

Dynamic correlation , GARCH , Asymmetry effect , Value-at-Risk , Synchronous data

Journal title :

Journal of Banking and Finance

Serial Year :

2001

Journal title :

Journal of Banking and Finance

Record number :

193309

Link To Document :