کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5075495 1373916 2009 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Range-based multivariate volatility model with double smooth transition in conditional correlation
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Range-based multivariate volatility model with double smooth transition in conditional correlation
چکیده انگلیسی
This paper proposes a multivariate model named Double Smooth Transition Conditional Correlation Conditional Autoregressive Range (DSTCC-CARR for short). Determined by two transition variables, the correlations smoothly transit from one state to another. Together with the DSTCC-GARCH model, the model is employed to investigate the interdependence between Hong Kong's and international stock markets. It is proved by the empirical analysis that the DSTCC-CARR model is more credible and efficient than the DSTCC-GARCH model. Linkages among Hong Kong's and other world's markets captured by these two models are testified to be consistent with history, and have meaningful interpretations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Global Finance Journal - Volume 20, Issue 2, 2009, Pages 137-152
نویسندگان
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