What Drives International Equity Correlations? Volatility or Market Direction?
Year of publication: |
2009-06
|
---|---|
Authors: | Amira, Khaled ; Taamouti, Abderrahim ; Tsafack, Georges |
Institutions: | Departamento de EconomÃa, Universidad Carlos III de Madrid |
Subject: | International equity markets | Asymmetric volatility | Asymmetric correlation | Vector autoregressive (VAR) | DCC-GARCH | Generalized impulse response function | Granger causality |
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