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Time-varying Correlations of Russian and U.S. Equity Returns

Thadavillil Jithendranathan ()

International Finance from University Library of Munich, Germany

Abstract: In this paper we looked at the changes in correlations between the Russian an U.S. equity market returns from September 1995 to October 2003. The correlations were estimated using the “Dynamic Conditional Correlation Model.” We further investigated the economic factors that cause the changes in the correlations between the returns and found that at the interest rate spread between the Russian and U.S. government bonds, changes in exchange rates and changes in world energy prices had statistically significant effect on the correlations at the overall market level.

Keywords: GARCH; Time-varying correlations; Russia (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis, nep-ets, nep-fin, nep-fmk, nep-ifn and nep-rmg
Date: 2004-03-05
Note: Type of Document - pdf; prepared on WinXP; to print on HP deskjet 940C; pages: 27; figures: Figures are within the text
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Handle: RePEc:wpa:wuwpif:0403006