Statistical Analysis of the Correlation between Italian and U.S. Stock Returns
Corrado Crocetta () and
Nicola Loperfido ()
Quaderni DSEMS from Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia
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.
Keywords: GARCH models; Invariance; Stock Returns. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ufg:qdsems:12-2003
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