Application of Range-Based Dynamic Conditional Correlation Model in the International Stock Market Correlations: Evidence from the U.S., Japan, and the U.K. to Asian Countries
碩士 === 國立交通大學 === 經營管理研究所 === 95 === This paper investigates the international stock market dynamic correlations between U.S., Japan, U.K., and ten Asian stock markets. Daily data are from 1990/7/1 to 2007/3/9. We use Condition Autoregressive Range (CARR) model of Chou (2005),as an alternative to th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97887074644318287785 |