An estimator of the correlation between Italian and U.S. Stock Returns is introduced. The properties of the estimator are invariant with respect to a wide class of GARCH models. The empirical evidence shows the existence of a positive correlation between Italian an U. S. stock returns.

This paper introduces an estimator for the correlation based on the signs of observations. Its asymptotic distribution is normal, it does not depend on the variance structure and it is invariant with respect to a wide class of models. Moreover, it is particularly suitable to study the...