Stability of the “returns–growth” relationship in G7: The dynamic conditional lagged correlation approach
The relationship between stock market returns and real economic output has been studied in many empirical works over several decades. We present a simple methodology to verify the time-varying structure of this “returns–growth” relationship using dynamic conditional correlation model. Monthly stock...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2014-03-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845014000027 |