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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

Abstract: 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)
Date: 2003-11
New Economics Papers: this item is included in nep-acc, nep-ecm, nep-fin, nep-fmk and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:ufg:qdsems:12-2003

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